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.

A comprehensive study of the 26th December 2004 Sumatra earthquake: possible implications on Earth rotation and investigations on the coseismic and postseismic stress diffusion associated with the seismic rupture

In this work a multidisciplinary study of the December 26th, 2004 Sumatra earthquake has been carried out. We have investigated both the effect of the earthquake on the Earth rotation and the stress field variations associated with the seismic event. In the first part of the work we have quantified the effects of a water mass redistribution associated with the propagation of a tsunami wave on the Earth’s pole path and on the length-of-day (LOD) and applied our modeling results to the tsunami following the 2004 giant Sumatra earthquake. We compared the result of our simulations on the instantaneous rotational axis variations with some preliminary instrumental evidences on the pole path perturbation (which has not been confirmed yet) registered just after the occurrence of the earthquake, which showed a step-like discontinuity that cannot be attributed to the effect of a seismic dislocation. Our results show that the perturbation induced by the tsunami on the instantaneous rotational pole is characterized by a step-like discontinuity, which is compatible with the observations but its magnitude turns out to be almost one hundred times smaller than the detected one. The LOD variation induced by the water mass redistribution turns out to be not significant because the total effect is smaller than current measurements uncertainties. In the second part of this work of thesis we modeled the coseismic and postseismic stress evolution following the Sumatra earthquake. By means of a semi-analytical, viscoelastic, spherical model of global postseismic deformation and a numerical finite-element approach, we performed an analysis of the stress diffusion following the earthquake in the near and far field of the mainshock source. We evaluated the stress changes due to the Sumatra earthquake by projecting the Coulomb stress over the sequence of aftershocks taken from various catalogues in a time window spanning about two years and finally analyzed the spatio-temporal pattern. The analysis performed with the semi-analytical and the finite-element modeling gives a complex picture of the stress diffusion, in the area under study, after the Sumatra earthquake. We believe that the results obtained with the analytical method suffer heavily for the restrictions imposed, on the hypocentral depths of the aftershocks, in order to obtain the convergence of the harmonic series of the stress components. On the contrary we imposed no constraints on the numerical method so we expect that the results obtained give a more realistic description of the stress variations pattern.

Mass transport in polymers

The study of mass transport in polymeric membranes has grown in importance due to its potential application in many processes such as separation of gases and vapors, packaging, controlled drug release. The diffusion of a low molecular weight species in a polymer is often accompanied by other phenomena like swelling, reactions, stresses, that have not been investigated in all their aspects yet. Furthermore, novel materials have been developed that include inorganic fillers, reactive functional groups or ions, that make the scenery even more complicated. The present work focused on the experimental study of systems where the diffusion is accompanied by other processes; suitable models were also developed to describe the particular circumstances in order to understand the underlying concepts and be able to design the performances of the material. The effect of solvent-induced deformation in polymeric films during sorption processes was studied since the dilation, especially in constrained membranes, can cause the development of stresses and therefore early failures of the material. The bending beam technique was used to test the effects of the dilation and the stress induced in the polymer by penetrant diffusion. A model based on the laminate theory was developed that accounts for the swelling and is able to predict the stress that raise in the material. The addition of inorganic fillers affects the transport properties of polymeric films. Mixed matrix membranes based on fluorinated, high free volume matrices show attractive performances for separation purposes but there is a need for deeper investigation of the selectivity properties towards gases and vapors. A new procedure based on the NELF model was tested on the experimental data; it allows to predict solubility of every penetrant on the basis of data for one vapor. The method has proved to be useful also for the determination of the diffusion coefficient and for an estimation of the permeability in the composite materials. Oxygen scavenging systems can overcome lack of barrier properties in common polymers that forbids their application in sensitive applications as food packaging. The final goal of obtaining a membrane almost impermeable to oxygen leads to experimental times out of reach. Hence, a simple model was developed in order to describe the transport of oxygen in a membrane with also reactive groups and analyze the experimental data collected on SBS copolymers that show attractive scavenging capacity. Furthermore, a model for predicting the oxygen barrier behavior of a film formed as a blend of OSP in a common packaging material was built, considering particles capable of reactions with oxygen embedded in a non-reactive matrix. Perfluorosulphonic acid ionomers (PFSI) are capturing attention due to a high thermal and chemical resistance coupled with very peculiar transport properties, that make them appropriate to be used in fuel cells. The possible effect of different formation procedure was studied together with the swelling due to water sorption since both water uptake and dilation can dramatically affect the fuel cells performances. The water diffusion and sorption was studied with a FTIR-ATR spectrometer that can give deeper information on the bonds between water molecules and the sulphonic hydrophilic groups and, therefore, on the microstructure of the hydrated ionomer.

Caratterizzazione di membrane metalliche e ionomeriche per applicazioni energetiche

The work of this thesis has been focused on the characterization of metallic membranes for the hydrogen purification from steam reforming process and also of perfluorosulphonic acid ionomeric (PFSI) membranes suitable as electrolytes in fuel cell applications. The experimental study of metallic membranes was divided in three sections: synthesis of palladium and silver palladium coatings on porous ceramic support via electroless deposition (ELD), solubility and diffusivity analysis of hydrogen in palladium based alloys (temperature range between 200 and 400 °C up to 12 bar of pressure) and permeation experiments of pure hydrogen and mixtures containing, besides hydrogen, also nitrogen and methane at high temperatures (up to 600 °C) and pressures (up to 10 bar). Sequential deposition of palladium and silver on to porous alumina tubes by ELD technique was carried out using two different procedures: a stirred batch and a continuous flux method. Pure palladium as well as Pd-Ag membranes were produced: the Pd-Ag membranes’ composition is calculated to be close to 77% Pd and 23% Ag by weight which was the target value that correspond to the best performance of the palladium-based alloys. One of the membranes produced showed an infinite selectivity through hydrogen and relatively high permeability value and is suitable for the potential use as a hydrogen separator. The hydrogen sorption in silver palladium alloys was carried out in a gravimetric system on films produced by ELD technique. In the temperature range inspected, up to 400°C, there is still a lack in literature. The experimental data were analyzed with rigorous equations allowing to calculate the enthalpy and entropy values of the Sieverts’ constant; the results were in very good agreement with the extrapolation made with literature data obtained a lower temperature (up to 150 °C). The information obtained in this study would be directly usable in the modeling of hydrogen permeation in Pd-based systems. Pure and mixed gas permeation tests were performed on Pd-based hydrogen selective membranes at operative conditions close to steam-reforming ones. Two membranes (one produced in this work and another produced by NGK Insulators Japan) showed a virtually infinite selectivity and good permeability. Mixture data revealed the existence of non negligible resistances to hydrogen transport in the gas phase. Even if the decrease of the driving force due to polarization concentration phenomena occurs, in principle, in all membrane-based separation systems endowed with high perm-selectivity, an extensive experimental analysis lack, at the moment, in the palladium-based membrane process in literature. Moreover a new procedure has been introduced for the proper comparison of the mass transport resistance in the gas phase and in the membrane. Another object of study was the water vapor sorption and permeation in PFSI membranes with short and long side chains was also studied; moreover the permeation of gases (i.e. He, N2 and O2) in dry and humid conditions was considered. The water vapor sorption showed strong interactions between the hydrophilic groups and the water as revealed from the hysteresis in the sorption-desorption isotherms and thermo gravimetric analysis. The data obtained were used in the modeling of water vapor permeation, that was described as diffusion-reaction of water molecules, and in the humid gases permeation experiments. In the dry gas experiments the permeability and diffusivity was found to increase with temperature and with the equivalent weight (EW) of the membrane. A linear correlation was drawn between the dry gas permeability and the opposite of the equivalent weight of PFSI membranes, based on which the permeability of pure PTFE is retrieved in the limit of high EW. In the other hand O2 ,N2 and He permeability values was found to increase significantly, and in a similar fashion, with water activity. A model that considers the PFSI membrane as a composite matrix with a hydrophilic and a hydrophobic phase was considered allowing to estimate the variation of gas permeability with relative humidity on the basis of the permeability in the dry PFSI membrane and in pure liquid water.

Bistable elliptic equations with fractional diffusion

This work concerns the study of bounded solutions to elliptic nonlinear equations with fractional diffusion. More precisely, the aim of this thesis is to investigate some open questions related to a conjecture of De Giorgi about the one-dimensional symmetry of bounded monotone solutions in all space, at least up to dimension 8. This property on 1-D symmetry of monotone solutions for fractional equations was known in dimension n=2. The question remained open for n>2. In this work we establish new sharp energy estimates and one-dimensional symmetry property in dimension 3 for certain solutions of fractional equations. Moreover we study a particular type of solutions, called saddle-shaped solutions, which are the candidates to be global minimizers not one-dimensional in dimensions bigger or equal than 8. This is an open problem and it is expected to be true from the classical theory of minimal surfaces.

Mg for hydrogen storage: synthesis, nanostructure and thermodynamics properties

Nowadays alternative energies are an extremely important topic and the possibility of using hydrogen as an energy carrier must be explored. Many problems infer the technological application of this abundant and powerful resource, one of them the possibility of storage. In the framework of suitable materials for hydrogen storage, magnesium has been the center of this study because it is cheap and the amount of stored hydrogen that it achieves (7.6 wt%) is extremely appealing. Nanostructure helps to overcome the slow hydrogen diffusion and the functionalization of surfaces with transition metals or oxides favors the hydrogen molecule dissociation/recombination. The aim of this research is the investigation of the metal-hydride transformation in magnesium nanoparticles synthesized by inert-gas condensation, exploiting the fact that they are a simple model system. The so produced nanostructured powder has been analyzed in response to nanoparticles surface functionalization by transition metal clusters, specifically palladium, nickel and titanium, chosen on the basis of their completely different Mg-related phase diagrams. The role of the intermetallic phases formed upon heating and hydrogenation treatments will be presented to provide a comprehensive picture of hydrogen sorption in this class of nanostructured storage materials.