The stochastic Gross-Pitaevskii equation: II

We provide a derivation of a more accurate version of the stochastic Gross-Pitaevskii equation, as introduced by Gardiner et al (2002 J. Phys. B: At. Mol. Opt. Phys. 35 1555). This derivation does not rely on the concept of local energy and momentum conservation and is based on a quasiclassical Wigner function representation of a 'high temperature' master equation for a Bose gas, which includes only modes below an energy cut-off ER that are sufficiently highly occupied (the condensate band). The modes above this cutoff (the non-condensate band) are treated as being essentially thermalized. The interaction between these two bands, known as growth and scattering processes, provides noise and damping terms in the equation of motion for the condensate band, which we call the stochastic Gross-Pitaevskii equation. This approach is distinguished by the control of the approximations made in its derivation and by the feasibility of its numerical implementation.

Properties of the stochastic Gross-Pitaevskii equation: finite temperature Ehrenfest relations and the optimal plane wave representation

We present Ehrenfest relations for the high temperature stochastic Gross-Pitaevskii equation description of a trapped Bose gas, including the effect of growth noise and the energy cutoff. A condition for neglecting the cutoff terms in the Ehrenfest relations is found which is more stringent than the usual validity condition of the truncated Wigner or classical field method-that all modes are highly occupied. The condition requires a small overlap of the nonlinear interaction term with the lowest energy single particle state of the noncondensate band, and gives a means to constrain dynamical artefacts arising from the energy cutoff in numerical simulations. We apply the formalism to two simple test problems: (i) simulation of the Kohn mode oscillation for a trapped Bose gas at zero temperature, and (ii) computing the equilibrium properties of a finite temperature Bose gas within the classical field method. The examples indicate ways to control the effects of the cutoff, and that there is an optimal choice of plane wave basis for a given cutoff energy. This basis gives the best reproduction of the single particle spectrum, the condensate fraction and the position and momentum densities.

Stochastic Solution of a KPP-Type Nonlinear Fractional Differential Equation

Mathematics Subject Classification: 26A33, 76M35, 82B31

A Stochastic Control Approach to a Parabolic Equation, Reciprocal Processes

2000 Mathematics Subject Classi cation: 49L60, 60J60, 93E20.

On a Stochastic Partial Differential Equation with a Noisy Term

2000 Mathematics Subject Classification: 60H15, 60H40

Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations

Aijt-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion processes by means of Hermite expansions with coe±cients determined by means of Taylor series. This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of moments. One advantage of this procedure is that it can be used e®ectively when the mathematical operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.

A Numerical Solution Using an Adaptively Preconditioned Lanczos Method for a Class of Linear Systems Related with the Fractional Poisson Equation

This study considers the solution of a class of linear systems related with the fractional Poisson equation (FPE) (−∇2)α/2φ=g(x,y) with nonhomogeneous boundary conditions on a bounded domain. A numerical approximation to FPE is derived using a matrix representation of the Laplacian to generate a linear system of equations with its matrix A raised to the fractional power α/2. The solution of the linear system then requires the action of the matrix function f(A)=A−α/2 on a vector b. For large, sparse, and symmetric positive definite matrices, the Lanczos approximation generates f(A)b≈β0Vmf(Tm)e1. This method works well when both the analytic grade of A with respect to b and the residual for the linear system are sufficiently small. Memory constraints often require restarting the Lanczos decomposition; however this is not straightforward in the context of matrix function approximation. In this paper, we use the idea of thick-restart and adaptive preconditioning for solving linear systems to improve convergence of the Lanczos approximation. We give an error bound for the new method and illustrate its role in solving FPE. Numerical results are provided to gauge the performance of the proposed method relative to exact analytic solutions.

Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

Multiscale analysis of protein functions and stochastic modelling of gene transcriptional regulatory networks

Genomic and proteomic analyses have attracted a great deal of interests in biological research in recent years. Many methods have been applied to discover useful information contained in the enormous databases of genomic sequences and amino acid sequences. The results of these investigations inspire further research in biological fields in return. These biological sequences, which may be considered as multiscale sequences, have some specific features which need further efforts to characterise using more refined methods. This project aims to study some of these biological challenges with multiscale analysis methods and stochastic modelling approach. The first part of the thesis aims to cluster some unknown proteins, and classify their families as well as their structural classes. A development in proteomic analysis is concerned with the determination of protein functions. The first step in this development is to classify proteins and predict their families. This motives us to study some unknown proteins from specific families, and to cluster them into families and structural classes. We select a large number of proteins from the same families or superfamilies, and link them to simulate some unknown large proteins from these families. We use multifractal analysis and the wavelet method to capture the characteristics of these linked proteins. The simulation results show that the method is valid for the classification of large proteins. The second part of the thesis aims to explore the relationship of proteins based on a layered comparison with their components. Many methods are based on homology of proteins because the resemblance at the protein sequence level normally indicates the similarity of functions and structures. However, some proteins may have similar functions with low sequential identity. We consider protein sequences at detail level to investigate the problem of comparison of proteins. The comparison is based on the empirical mode decomposition (EMD), and protein sequences are detected with the intrinsic mode functions. A measure of similarity is introduced with a new cross-correlation formula. The similarity results show that the EMD is useful for detection of functional relationships of proteins. The third part of the thesis aims to investigate the transcriptional regulatory network of yeast cell cycle via stochastic differential equations. As the investigation of genome-wide gene expressions has become a focus in genomic analysis, researchers have tried to understand the mechanisms of the yeast genome for many years. How cells control gene expressions still needs further investigation. We use a stochastic differential equation to model the expression profile of a target gene. We modify the model with a Gaussian membership function. For each target gene, a transcriptional rate is obtained, and the estimated transcriptional rate is also calculated with the information from five possible transcriptional regulators. Some regulators of these target genes are verified with the related references. With these results, we construct a transcriptional regulatory network for the genes from the yeast Saccharomyces cerevisiae. The construction of transcriptional regulatory network is useful for detecting more mechanisms of the yeast cell cycle.

Stochastic models for regulatory networks of the genetic toggle switch

Bistability arises within a wide range of biological systems from the λ phage switch in bacteria to cellular signal transduction pathways in mammalian cells. Changes in regulatory mechanisms may result in genetic switching in a bistable system. Recently, more and more experimental evidence in the form of bimodal population distributions indicates that noise plays a very important role in the switching of bistable systems. Although deterministic models have been used for studying the existence of bistability properties under various system conditions, these models cannot realize cell-to-cell fluctuations in genetic switching. However, there is a lag in the development of stochastic models for studying the impact of noise in bistable systems because of the lack of detailed knowledge of biochemical reactions, kinetic rates, and molecular numbers. In this work, we develop a previously undescribed general technique for developing quantitative stochastic models for large-scale genetic regulatory networks by introducing Poisson random variables into deterministic models described by ordinary differential equations. Two stochastic models have been proposed for the genetic toggle switch interfaced with either the SOS signaling pathway or a quorum-sensing signaling pathway, and we have successfully realized experimental results showing bimodal population distributions. Because the introduced stochastic models are based on widely used ordinary differential equation models, the success of this work suggests that this approach is a very promising one for studying noise in large-scale genetic regulatory networks.