Quantum measurement and stochastic processes in mesoscopic conductors

In quantum measurement theory it is necessary to show how a, quantum source conditions a classical stochastic record of measured results. We discuss mesoscopic conductance using quantum stochastic calculus to elucidate the quantum nature of the measurement taking place in these systems. To illustrate the method we derive the current fluctuations in a two terminal mesoscopic circuit with two tunnel barriers containing a single quasi bound state on the well. The method enables us to focus on either the incoming/ outgoing Fermi fields in the leads, or on the irreversible dynamics of the well state itself. We show an equivalence between the approach of Buttiker and the Fermi quantum stochastic calculus for mesoscopic systems.

Subduction and obduction processes in the Swiss Alps

The significance of the Brianconnais domain in the Alpine orogen is reviewed in the light of data concerning its collision with the active Adriatic margin and the passive Helvetic margin. The Brianconnais which formerly belonged to the Iberian plate, was located on the northern margin of the Alpine Tethys (Liguro-Piemont ocean) since its opening in the early-Middle Jurassic. Together with the Iberian plate the Brianconnais terrane was separated from the European plate in the Late Jurassic-Early Cretaceous, following the northern Atlantic, Bay of Biscay, Valais ocean opening. This was accompanied by the onset of subduction along the northern margin of Adria and the closure of the Alpine Tethys. Stratigraphic and metamorphic data regarding this subduction and the geohistory of the Brianconnais allows the scenario of subduction-obduction processes during the Late Cretaceous-early Tertiary in the eastern and western Alps to be specified. HP-LT metamorphism record a long-lasting history of oceanic subduction-accretion, followed in the Middle Eocene by the incorporation of the Brianconnais as an exotic terrane into the accretionary prism. Middle to Late Eocene cooling ages of the Brianconnais basement and the presence of pelagic, anorogenic sedimentation lasting until the Middle Eocene on the Brianconnais preclude any sort of collision before that time between this domain and the active Adria margin or the Helvetic margin. This is confirmed by plate reconstructions constrained by magnetic anomalies in the Atlantic domain. Only a small percentage of the former Brianconnais domain was obducted, most of the crust and lithospheric roots were subducted. This applies also to domains formerly belonging to the southern Alpine Tethys margin (Austroalpine-inner Carpathian domain). It is proposed that there was a single Palaeogene subduction zone responsible for the Alpine orogen formation (from northern Spain to the East Carpathians), with the exception of a short-lived Late Cretaceous partial closure of the Valais ocean. Subduction in the western Tethyan domain originated during the closure of the Meliata ocean during the Jurassic incorporating the Austroalpine-Carpathian domain as terranes during the Cretaceous. The subduction zone propagated into the northern margin of Adria and then to the northern margin of the Iberian plate, where it gave birth to the Pyrenean-Provencal orogenic belt. This implies the absence of a separated Cretaceous subduction zone within the Austro-Carpathian Penninic ocean. Collision of Iberia with Europe forced the subduction to jump to the SE margin of Iberia in the Eocene, creating the Apenninic orogenic wedge and inverting the vergence of subduction from south- to north-directed. (C) 1998 Elsevier Science B.V. All rights reserved.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Exit times in non-Markovian drifting continuous-time random-walk processes

By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to the corrections ensuing from the non-Markovian nature of the process. We show that when drift and jumps have the same sign the relevant integral equations can be solved in closed form. The case when holding times have the classical Erlang distribution is considered in detail.

Some Applications of Markov Additive Processes as Models in Insurance and Financial Mathematics

Cette thèse est principalement constituée de trois articles traitant des processus markoviens additifs, des processus de Lévy et d'applications en finance et en assurance. Le premier chapitre est une introduction aux processus markoviens additifs (PMA), et une présentation du problème de ruine et de notions fondamentales des mathématiques financières. Le deuxième chapitre est essentiellement l'article "Lévy Systems and the Time Value of Ruin for Markov Additive Processes" écrit en collaboration avec Manuel Morales et publié dans la revue European Actuarial Journal. Cet article étudie le problème de ruine pour un processus de risque markovien additif. Une identification de systèmes de Lévy est obtenue et utilisée pour donner une expression de l'espérance de la fonction de pénalité actualisée lorsque le PMA est un processus de Lévy avec changement de régimes. Celle-ci est une généralisation des résultats existant dans la littérature pour les processus de risque de Lévy et les processus de risque markoviens additifs avec sauts "phase-type". Le troisième chapitre contient l'article "On a Generalization of the Expected Discounted Penalty Function to Include Deficits at and Beyond Ruin" qui est soumis pour publication. Cet article présente une extension de l'espérance de la fonction de pénalité actualisée pour un processus subordinateur de risque perturbé par un mouvement brownien. Cette extension contient une série de fonctions escomptée éspérée des minima successives dus aux sauts du processus de risque après la ruine. Celle-ci a des applications importantes en gestion de risque et est utilisée pour déterminer la valeur espérée du capital d'injection actualisé. Finallement, le quatrième chapitre contient l'article "The Minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model" écrit en collaboration avec Romuald Hervé Momeya et publié dans la revue Asia-Pacific Financial Market. Cet article présente de nouveaux résultats en lien avec le problème de l'incomplétude dans un marché financier où le processus de prix de l'actif risqué est décrit par un modèle exponentiel markovien additif. Ces résultats consistent à charactériser la mesure martingale satisfaisant le critère de l'entropie. Cette mesure est utilisée pour calculer le prix d'une option, ainsi que des portefeuilles de couverture dans un modèle exponentiel de Lévy avec changement de régimes.

Pressure-jump X-ray studies of liquid crystal transitions in lipids

In this paper, we give an overview of our studies by static and time-resolved X-ray diffraction of inverse cubic phases and phase transitions in lipids. In 1, we briefly discuss the lyotropic phase behaviour of lipids, focusing attention on non-lamellar structures, and their geometric/topological relationship to fusion processes in lipid membranes. Possible pathways for transitions between different cubic phases are also outlined. In 2, we discuss the effects of hydrostatic pressure on lipid membranes and lipid phase transitions, and describe how the parameters required to predict the pressure dependence of lipid phase transition temperatures can be conveniently measured. We review some earlier results of inverse bicontinuous cubic phases from our laboratory, showing effects such as pressure-induced formation and swelling. In 3, we describe the technique of pressure-jump synchrotron X-ray diffraction. We present results that have been obtained from the lipid system 1:2 dilauroylphosphatidylcholine/lauric acid for cubic-inverse hexagonal, cubic-cubic and lamellar-cubic transitions. The rate of transition was found to increase with the amplitude of the pressure-jump and with increasing temperature. Evidence for intermediate structures occurring transiently during the transitions was also obtained. In 4, we describe an IDL-based 'AXCESS' software package being developed in our laboratory to permit batch processing and analysis of the large X-ray datasets produced by pressure-jump synchrotron experiments. In 5, we present some recent results on the fluid lamellar-Pn3m cubic phase transition of the single-chain lipid 1-monoelaidin, which we have studied both by pressure-jump and temperature-jump X-ray diffraction. Finally, in 6, we give a few indicators of future directions of this research. We anticipate that the most useful technical advance will be the development of pressure-jump apparatus on the microsecond time-scale, which will involve the use of a stack of piezoelectric pressure actuators. The pressure-jump technique is not restricted to lipid phase transitions, but can be used to study a wide range of soft matter transitions, ranging from protein unfolding and DNA unwinding and transitions, to phase transitions in thermotropic liquid crystals, surfactants and block copolymers.

Density-Profile Processes Describing Biological Signaling Networks: Almost Sure Convergence to Deterministic Trajectories

We introduce jump processes in R(k), called density-profile processes, to model biological signaling networks. Our modeling setup describes the macroscopic evolution of a finite-size spin-flip model with k types of spins with arbitrary number of internal states interacting through a non-reversible stochastic dynamics. We are mostly interested on the multi-dimensional empirical-magnetization vector in the thermodynamic limit, and prove that, within arbitrary finite time-intervals, its path converges almost surely to a deterministic trajectory determined by a first-order (non-linear) differential equation with explicit bounds on the distance between the stochastic and deterministic trajectories. As parameters of the spin-flip dynamics change, the associated dynamical system may go through bifurcations, associated to phase transitions in the statistical mechanical setting. We present a simple example of spin-flip stochastic model, associated to a synthetic biology model known as repressilator, which leads to a dynamical system with Hopf and pitchfork bifurcations. Depending on the parameter values, the magnetization random path can either converge to a unique stable fixed point, converge to one of a pair of stable fixed points, or asymptotically evolve close to a deterministic orbit in Rk. We also discuss a simple signaling pathway related to cancer research, called p53 module.

QUASISTATIONARY DISTRIBUTIONS AND FLEMING-VIOT PROCESSES IN FINITE SPACES

Consider a continuous-time Markov process with transition rates matrix Q in the state space Lambda boolean OR {0}. In In the associated Fleming-Viot process N particles evolve independently in A with transition rates matrix Q until one of them attempts to jump to state 0. At this moment the particle jumps to one of the positions of the other particles, chosen uniformly at random. When Lambda is finite, we show that the empirical distribution of the particles at a fixed time converges as N -> infinity to the distribution of a single particle at the same time conditioned on not touching {0}. Furthermore, the empirical profile of the unique invariant measure for the Fleming-Viot process with N particles converges as N -> infinity to the unique quasistationary distribution of the one-particle motion. A key element of the approach is to show that the two-particle correlations are of order 1/N.

Stochastic stability for Markovian jump linear systems associated with a finite number of jump times

This paper deals with a stochastic stability concept for discrete-time Markovian jump linear systems. The random jump parameter is associated to changes between the system operation modes due to failures or repairs, which can be well described by an underlying finite-state Markov chain. In the model studied, a fixed number of failures or repairs is allowed, after which, the system is brought to a halt for maintenance or for replacement. The usual concepts of stochastic stability are related to pure infinite horizon problems, and are not appropriate in this scenario. A new stability concept is introduced, named stochastic tau-stability that is tailored to the present setting. Necessary and sufficient conditions to ensure the stochastic tau-stability are provided, and the almost sure stability concept associated with this class of processes is also addressed. The paper also develops equivalences among second order concepts that parallels the results for infinite horizon problems. (C) 2003 Elsevier B.V. All rights reserved.

Stochastic Stability for Markovian Jump Linear Systems Subject to a Crucial Failure Event

This paper is concerned with the stability of discrete-time linear systems subject to random jumps in the parameters, described by an underlying finite-state Markov chain. In the model studied, a stopping time τ Δ is associated with the occurrence of a crucial failure after which the system is brought to a halt for maintenance. The usual stochastic stability concepts and associated results are not indicated, since they are tailored to pure infinite horizon problems. Using the concept named stochastic τ-stability, equivalent conditions to ensure the stochastic stability of the system until the occurrence of τ Δ is obtained. In addition, an intermediary and mixed case for which τ represents the minimum between the occurrence of a fix number N of failures and the occurrence of a crucial failure τ Δ is also considered. Necessary and sufficient conditions to ensure the stochastic τ-stability are provided in this setting that are auxiliary to the main result.

Linear quadratic Gaussian control of discrete-time Markov jump linear systems with horizon defined by stopping times

The linear quadratic Gaussian control of discrete-time Markov jump linear systems is addressed in this paper, first for state feedback, and also for dynamic output feedback using state estimation. in the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (T N), or the occurrence of a crucial failure event (τ δ), after which the system paralyzed. From the constructive method used here a separation principle holds, and the solutions are given in terms of a Kalman filter and a state feedback sequence of controls. The control gains are obtained by recursions from a set of algebraic Riccati equations for the former case or by a coupled set of algebraic Riccati equation for the latter case. Copyright © 2005 IFAC.

Filtering for discrete-time Markov jump systems with network transmitted mode

This paper is concerned with ℋ 2 and ℋ ∞ filter design for discrete-time Markov jump systems. The usual assumption of mode-dependent design, where the current Markov mode is available to the filter at every instant of time is substituted by the case where that availability is subject to another Markov chain. In other words, the mode is transmitted to the filter through a network with given transmission failure probabilities. The problem is solved by modeling a system with N modes as another with 2N modes and cluster availability. We also treat the case where the transition probabilities are not exactly known and demonstrate our conditions for calculating an ℋ ∞ norm bound are less conservative than the available results in the current literature. Numerical examples show the applicability of the proposed results. ©2010 IEEE.

H ∞ state feedback control of discrete-time Markov jump linear systems through linear matrix inequalities

This paper addresses the H ∞ state-feedback control design problem of discretetime Markov jump linear systems. First, under the assumption that the Markov parameter is measured, the main contribution is on the LMI characterization of all linear feedback controllers such that the closed loop output remains bounded by a given norm level. This results allows the robust controller design to deal with convex bounded parameter uncertainty, probability uncertainty and cluster availability of the Markov mode. For partly unknown transition probabilities, the proposed design problem is proved to be less conservative than one available in the current literature. An example is solved for illustration and comparisons. © 2011 IFAC.

Stochastic exponential stability of singular linear systems with Markov jump parameters

This paper deals with exponential stability of discrete-time singular systems with Markov jump parameters. We propose a set of coupled generalized Lyapunov equations (CGLE) that provides sufficient conditions to check this property for this class of systems. A method for solving the obtained CGLE is also presented, based on iterations of standard singular Lyapunov equations. We present also a numerical example to illustrate the effectiveness of the approach we are proposing.

Geochemistry Of Acid Mine Drainage From A Coal Mining Area And Processes Controlling Metal Attenuation In Stream Waters, Southern Brazil.

Acid drainage influence on the water and sediment quality was investigated in a coal mining area (southern Brazil). Mine drainage showed pH between 3.2 and 4.6 and elevated concentrations of sulfate, As and metals, of which, Fe, Mn and Zn exceeded the limits for the emission of effluents stated in the Brazilian legislation. Arsenic also exceeded the limit, but only slightly. Groundwater monitoring wells from active mines and tailings piles showed pH interval and chemical concentrations similar to those of mine drainage. However, the river and ground water samples of municipal public water supplies revealed a pH range from 7.2 to 7.5 and low chemical concentrations, although Cd concentration slightly exceeded the limit adopted by Brazilian legislation for groundwater. In general, surface waters showed large pH range (6 to 10.8), and changes caused by acid drainage in the chemical composition of these waters were not very significant. Locally, acid drainage seemed to have dissolved carbonate rocks present in the local stratigraphic sequence, attenuating the dispersion of metals and As. Stream sediments presented anomalies of these elements, which were strongly dependent on the proximity of tailings piles and abandoned mines. We found that precipitation processes in sediments and the dilution of dissolved phases were responsible for the attenuation of the concentrations of the metals and As in the acid drainage and river water mixing zone. In general, a larger influence of mining activities on the chemical composition of the surface waters and sediments was observed when enrichment factors in relation to regional background levels were used.