The von Mises-Fisher distribution of the first exit point from the hypersphere of the drifted Brownian motion and the density of the first exit time

A characterization is provided for the von Mises–Fisher random variable, in terms of first exit point from the unit hypersphere of the drifted Wiener process. Laplace transform formulae for the first exit time from the unit hypersphere of the drifted Wiener process are provided. Post representations in terms of Bell polynomials are provided for the densities of the first exit times from the circle and from the sphere.

Interim analysis of clinical trials: Simulation studies of fractional Brownian motion

Interim clinical trial monitoring procedures were motivated by ethical and economic considerations. Classical Brownian motion (Bm) techniques for statistical monitoring of clinical trials were widely used. Conditional power argument and α-spending function based boundary crossing probabilities are popular statistical hypothesis testing procedures under the assumption of Brownian motion. However, it is not rare that the assumptions of Brownian motion are only partially met for trial data. Therefore, I used a more generalized form of stochastic process, called fractional Brownian motion (fBm), to model the test statistics. Fractional Brownian motion does not hold Markov property and future observations depend not only on the present observations but also on the past ones. In this dissertation, we simulated a wide range of fBm data, e.g., H = 0.5 (that is, classical Bm) vs. 0.5< H <1, with treatment effects vs. without treatment effects. Then the performance of conditional power and boundary-crossing based interim analyses were compared by assuming that the data follow Bm or fBm. Our simulation study suggested that the conditional power or boundaries under fBm assumptions are generally higher than those under Bm assumptions when H > 0.5 and also matches better with the empirical results. ^

On ergodic least-squares estimators of the generalized diffusion coefficient for fractional Brownian motion

We analyse a class of estimators of the generalized diffusion coefficient for fractional Brownian motion Bt of known Hurst index H, based on weighted functionals of the single time square displacement. We show that for a certain choice of the weight function these functionals possess an ergodic property and thus provide the true, ensemble-averaged, generalized diffusion coefficient to any necessary precision from a single trajectory data, but at expense of a progressively higher experimental resolution. Convergence is fastest around H ? 0.30, a value in the subdiffusive regime.

On the Moving Boundary Hitting Probability for the Brownian Motion

2000 Mathematics Subject Classification: 60J65.

A geometriai Brown-mozgás feltevésének elfogadhatósága a reálopciók értékelésében (The acceptability of the assumption of geometric brownian motion in the valuation of real options)

A reálopciók a döntési rugalmasság megtestesítőiként jelen vannak a vállalatvezetők mindennapjaiban, és cégtől függően jelentős értéket képviselhetnek. Értékelésük a hagyományos diszkontált pénzáramlás módszerekkel csak korlátozottan lehetséges, ezért alternatívaként felmerül a pénzügyi opcióárazás módszertana, amelynek hagyományos változatai az alaptermék alakulásáról geometriai Brown-mozgást feltételeznek. A cikk ezt a feltevést veszi górcső alá a reálopciókra történő alkalmazás szempontjából, és megmutatja, hogy habár önkényesnek tűnhet, valójában nem pusztán egy matematikai szempontból kényelmes megoldás, hanem pénzügyileg is elfogadható feltétel. _______ Real options represent the fl exibility of decision-making, and are thus part of the everyday work of corporate executives, often having great value. Valuing them with the use of traditional Discounted Cash Flow models has limited relevance, therefore arises the alternative methodology of fi nancial option pricing, the traditional versions of which assume that the price of the underlying asset follows Geometric Brownian Motion. The paper examines this assumption from the aspect of real option valuation and shows that although it might seem arbitrary, it is not only a mathematically convenient choice, but also a fi nancially acceptable one.

An investigation of Nano-particle deposition in cylindrical tubes under Laminar condition using Lagrangian transport model

Aerosol deposition in cylindrical tubes is a subject of interest to researchers and engineers in many applications of aerosol physics and metrology. Investigation of nano-particles in different aspects such as lungs, upper airways, batteries and vehicle exhaust gases is vital due the smaller size, adverse health effect and higher trouble for trapping than the micro-particles. The Lagrangian particle tracking provides an effective method for simulating the deposition of nano-particles as well as micro-particles as it accounts for the particle inertia effect as well as the Brownian excitation. However, using the Lagrangian approach for simulating ultrafine particles has been limited due to computational cost and numerical difficulties. In this paper, the deposition of nano-particles in cylindrical tubes under laminar condition is studied using the Lagrangian particle tracking method. The commercial Fluent software is used to simulate the fluid flow in the pipes and to study the deposition and dispersion of nano-particles. Different particle diameters as well as different flow rates are examined. The point analysis in a uniform flow is performed for validating the Brownian motion. The results show good agreement between the calculated deposition efficiency and the analytic correlations in the literature. Furthermore, for the nano-particles with the diameter more than 40 nm, the calculated deposition efficiency by the Lagrangian method is less than the analytic correlations based on Eulerian method due to statistical error or the inertia effect.

Anomalous Viscosity Reduction and Hydrodynamic Interactions of Polymeric Nanocolloids in Polymers

One of the central dogmas of fluid physics is the no-slip boundary condition, whose validity has come under scrutiny, especially in the fields of micro and nanofluidics. Although various studies show the violation of the no-slip condition its effect on flow of colloidal particles in viscous media has been rarely explored. Here we report unusually large reduction of effective viscosity experienced by polymeric nano colloids moving through a highly viscous and confined polymer, well above its glass transition temperature. The extent of reduction in effective interface viscosity increases with decreasing temperature and polymer film thickness. Concomitant with the reduction in effective viscosity we also observe apparent divergence of the wave vector dependent hydrodynamic interaction function of these colloids with an anomalous power law exponent of similar to 2 at the lowest temperatures and film thickness studied. Such strong hydrodynamic interactions are not expected for polymeric colloidal motion in polymer melts. We suggest hydrodynamics, especially slip present at the colloid-polymer interface which determines the observed reduction in interface viscosity and presence of strong hydrodynamic interactions.

Thermal fluctuations and boundary conditions in the lattice Boltzmann method

The lattice Boltzmann method is a popular approach for simulating hydrodynamic interactions in soft matter and complex fluids. The solvent is represented on a discrete lattice whose nodes are populated by particle distributions that propagate on the discrete links between the nodes and undergo local collisions. On large length and time scales, the microdynamics leads to a hydrodynamic flow field that satisfies the Navier-Stokes equation. In this thesis, several extensions to the lattice Boltzmann method are developed. In complex fluids, for example suspensions, Brownian motion of the solutes is of paramount importance. However, it can not be simulated with the original lattice Boltzmann method because the dynamics is completely deterministic. It is possible, though, to introduce thermal fluctuations in order to reproduce the equations of fluctuating hydrodynamics. In this work, a generalized lattice gas model is used to systematically derive the fluctuating lattice Boltzmann equation from statistical mechanics principles. The stochastic part of the dynamics is interpreted as a Monte Carlo process, which is then required to satisfy the condition of detailed balance. This leads to an expression for the thermal fluctuations which implies that it is essential to thermalize all degrees of freedom of the system, including the kinetic modes. The new formalism guarantees that the fluctuating lattice Boltzmann equation is simultaneously consistent with both fluctuating hydrodynamics and statistical mechanics. This establishes a foundation for future extensions, such as the treatment of multi-phase and thermal flows. An important range of applications for the lattice Boltzmann method is formed by microfluidics. Fostered by the "lab-on-a-chip" paradigm, there is an increasing need for computer simulations which are able to complement the achievements of theory and experiment. Microfluidic systems are characterized by a large surface-to-volume ratio and, therefore, boundary conditions are of special relevance. On the microscale, the standard no-slip boundary condition used in hydrodynamics has to be replaced by a slip boundary condition. In this work, a boundary condition for lattice Boltzmann is constructed that allows the slip length to be tuned by a single model parameter. Furthermore, a conceptually new approach for constructing boundary conditions is explored, where the reduced symmetry at the boundary is explicitly incorporated into the lattice model. The lattice Boltzmann method is systematically extended to the reduced symmetry model. In the case of a Poiseuille flow in a plane channel, it is shown that a special choice of the collision operator is required to reproduce the correct flow profile. This systematic approach sheds light on the consequences of the reduced symmetry at the boundary and leads to a deeper understanding of boundary conditions in the lattice Boltzmann method. This can help to develop improved boundary conditions that lead to more accurate simulation results.

Networking - a statistical physics perspective

Networking encompasses a variety of tasks related to the communication of information on networks; it has a substantial economic and societal impact on a broad range of areas including transportation systems, wired and wireless communications and a range of Internet applications. As transportation and communication networks become increasingly more complex, the ever increasing demand for congestion control, higher traffic capacity, quality of service, robustness and reduced energy consumption requires new tools and methods to meet these conflicting requirements. The new methodology should serve for gaining better understanding of the properties of networking systems at the macroscopic level, as well as for the development of new principled optimization and management algorithms at the microscopic level. Methods of statistical physics seem best placed to provide new approaches as they have been developed specifically to deal with nonlinear large-scale systems. This review aims at presenting an overview of tools and methods that have been developed within the statistical physics community and that can be readily applied to address the emerging problems in networking. These include diffusion processes, methods from disordered systems and polymer physics, probabilistic inference, which have direct relevance to network routing, file and frequency distribution, the exploration of network structures and vulnerability, and various other practical networking applications. © 2013 IOP Publishing Ltd.

Single particle motion of polymeric, colloidal, and biological materials

Small particles and their dynamics are of widespread interest due both to their unique properties and their ubiquity. Here, we investigate several classes of small particles: colloids, polymers, and liposomes. All these particles, due to their size on the order of microns, exhibit significant similarity in that they are large enough to be visualized in microscopes, but small enough to be significantly influenced by thermal (or Brownian) motion. Further, similar optical microscopy and experimental techniques are commonly employed to investigate all these particles. In this work, we develop single particle tracking techniques, which allow thorough characterization of individual particle dynamics, observing many behaviors which would be overlooked by methods which time or ensemble average. The various particle systems are also similar in that frequently, the signal-to-noise ratio represented a significant concern. In many cases, development of image analysis and particle tracking methods optimized to low signal-to-noise was critical to performing experimental observations. The simplest particles studied, in terms of their interaction potentials, were chemically homogeneous (though optically anisotropic) hard-sphere colloids. Using these spheres, we explored the comparatively underdeveloped conjunction of translation and rotation and particle hydrodynamics. Developing off this, the dynamics of clusters of spherical colloids were investigated, exploring how shape anisotropy influences the translation and rotation respectively. Transitioning away from uniform hard-sphere potentials, the interactions of amphiphilic colloidal particles were explored, observing the effects of hydrophilic and hydrophobic interactions upon pattern assembly and inter-particle dynamics. Interaction potentials were altered in a different fashion by working with suspensions of liposomes, which, while homogeneous, introduce the possibility of deformation. Even further degrees of freedom were introduced by observing the interaction of particles and then polymers within polymer suspensions or along lipid tubules. Throughout, while examination of the trajectories revealed that while by some measures, the averaged behaviors accorded with expectation, often closer examination made possible by single particle tracking revealed novel and unexpected phenomena.

Dynamics of transformation and fragmentation of composite liquid nano-particles

Recent research on particle size distributions and particle concentrations near a busy road cannot be explained by the conventional mechanisms for particle evolution of combustion aerosols. Specifically they appear to be inadequate to explain the experimental observations of particle transformation and the evolution of the total number concentration. This resulted in the development of a new mechanism based on their thermal fragmentation, for the evolution of combustion aerosol nano-particles. A complex and comprehensive pattern of evolution of combustion aerosols, involving particle fragmentation, was then proposed and justified. In that model it was suggested that thermal fragmentation occurs in aggregates of primary particles each of which contains a solid graphite/carbon core surrounded by volatile molecules bonded to the core by strong covalent bonds. Due to the presence of strong covalent bonds between the core and the volatile (frill) molecules, such primary composite particles can be regarded as solid, despite the presence of significant (possibly, dominant) volatile component. Fragmentation occurs when weak van der Waals forces between such primary particles are overcome by their thermal (Brownian) motion. In this work, the accepted concept of thermal fragmentation is advanced to determine whether fragmentation is likely in liquid composite nano-particles. It has been demonstrated that at least at some stages of evolution, combustion aerosols contain a large number of composite liquid particles containing presumably several components such as water, oil, volatile compounds, and minerals. It is possible that such composite liquid particles may also experience thermal fragmentation and thus contribute to, for example, the evolution of the total number concentration as a function of distance from the source. Therefore, the aim of this project is to examine theoretically the possibility of thermal fragmentation of composite liquid nano-particles consisting of immiscible liquid v components. The specific focus is on ternary systems which include two immiscible liquid droplets surrounded by another medium (e.g., air). The analysis shows that three different structures are possible, the complete encapsulation of one liquid by the other, partial encapsulation of the two liquids in a composite particle, and the two droplets separated from each other. The probability of thermal fragmentation of two coagulated liquid droplets is discussed and examined for different volumes of the immiscible fluids in a composite liquid particle and their surface and interfacial tensions through the determination of the Gibbs free energy difference between the coagulated and fragmented states, and comparison of this energy difference with the typical thermal energy kT. The analysis reveals that fragmentation was found to be much more likely for a partially encapsulated particle than a completely encapsulated particle. In particular, it was found that thermal fragmentation was much more likely when the volume ratio of the two liquid droplets that constitute the composite particle are very different. Conversely, when the two liquid droplets are of similar volumes, the probability of thermal fragmentation is small. It is also demonstrated that the Gibbs free energy difference between the coagulated and fragmented states is not the only important factor determining the probability of thermal fragmentation of composite liquid particles. The second essential factor is the actual structure of the composite particle. It is shown that the probability of thermal fragmentation is also strongly dependent on the distance that each of the liquid droplets should travel to reach the fragmented state. In particular, if this distance is larger than the mean free path for the considered droplets in the air, the probability of thermal fragmentation should be negligible. In particular, it follows form here that fragmentation of the composite particle in the state with complete encapsulation is highly unlikely because of the larger distance that the two droplets must travel in order to separate. The analysis of composite liquid particles with the interfacial parameters that are expected in combustion aerosols demonstrates that thermal fragmentation of these vi particles may occur, and this mechanism may play a role in the evolution of combustion aerosols. Conditions for thermal fragmentation to play a significant role (for aerosol particles other than those from motor vehicle exhaust) are determined and examined theoretically. Conditions for spontaneous transformation between the states of composite particles with complete and partial encapsulation are also examined, demonstrating the possibility of such transformation in combustion aerosols. Indeed it was shown that for some typical components found in aerosols that transformation could take place on time scales less than 20 s. The analysis showed that factors that influenced surface and interfacial tension played an important role in this transformation process. It is suggested that such transformation may, for example, result in a delayed evaporation of composite particles with significant water component, leading to observable effects in evolution of combustion aerosols (including possible local humidity maximums near a source, such as a busy road). The obtained results will be important for further development and understanding of aerosol physics and technologies, including combustion aerosols and their evolution near a source.

Digital processing of diffusion-tensor images of avascular tissues

Diffusion is the process that leads to the mixing of substances as a result of spontaneous and random thermal motion of individual atoms and molecules. It was first detected by the English botanist Robert Brown in 1827, and the phenomenon became known as ‘Brownian motion’. More specifically, the motion observed by Brown was translational diffusion – thermal motion resulting in random variations of the position of a molecule. This type of motion was given a correct theoretical interpretation in 1905 by Albert Einstein, who derived the relationship between temperature, the viscosity of the medium, the size of the diffusing molecule, and its diffusion coefficient. It is translational diffusion that is indirectly observed in MR diffusion-tensor imaging (DTI). The relationship obtained by Einstein provides the physical basis for using translational diffusion to probe the microscopic environment surrounding the molecule.

Analytical and numerical solutions of the space and time fractional bloch-torrey equation

Fractional order dynamics in physics, particularly when applied to diffusion, leads to an extension of the concept of Brown-ian motion through a generalization of the Gaussian probability function to what is termed anomalous diffusion. As MRI is applied with increasing temporal and spatial resolution, the spin dynamics are being examined more closely; such examinations extend our knowledge of biological materials through a detailed analysis of relaxation time distribution and water diffusion heterogeneity. Here the dynamic models become more complex as they attempt to correlate new data with a multiplicity of tissue compartments where processes are often anisotropic. Anomalous diffusion in the human brain using fractional order calculus has been investigated. Recently, a new diffusion model was proposed by solving the Bloch-Torrey equation using fractional order calculus with respect to time and space (see R.L. Magin et al., J. Magnetic Resonance, 190 (2008) 255-270). However effective numerical methods and supporting error analyses for the fractional Bloch-Torrey equation are still limited. In this paper, the space and time fractional Bloch-Torrey equation (ST-FBTE) is considered. The time and space derivatives in the ST-FBTE are replaced by the Caputo and the sequential Riesz fractional derivatives, respectively. Firstly, we derive an analytical solution for the ST-FBTE with initial and boundary conditions on a finite domain. Secondly, we propose an implicit numerical method (INM) for the ST-FBTE, and the stability and convergence of the INM are investigated. We prove that the implicit numerical method for the ST-FBTE is unconditionally stable and convergent. Finally, we present some numerical results that support our theoretical analysis.