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.

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.

Existence of solutions and asymtptotic limits of the Euler-Poisson and the quantum drift-diffusion systems

My work concerns two different systems of equations used in the mathematical modeling of semiconductors and plasmas: the Euler-Poisson system and the quantum drift-diffusion system. The first is given by the Euler equations for the conservation of mass and momentum, with a Poisson equation for the electrostatic potential. The second one takes into account the physical effects due to the smallness of the devices (quantum effects). It is a simple extension of the classical drift-diffusion model which consists of two continuity equations for the charge densities, with a Poisson equation for the electrostatic potential. Using an asymptotic expansion method, we study (in the steady-state case for a potential flow) the limit to zero of the three physical parameters which arise in the Euler-Poisson system: the electron mass, the relaxation time and the Debye length. For each limit, we prove the existence and uniqueness of profiles to the asymptotic expansion and some error estimates. For a vanishing electron mass or a vanishing relaxation time, this method gives us a new approach in the convergence of the Euler-Poisson system to the incompressible Euler equations. For a vanishing Debye length (also called quasineutral limit), we obtain a new approach in the existence of solutions when boundary layers can appear (i.e. when no compatibility condition is assumed). Moreover, using an iterative method, and a finite volume scheme or a penalized mixed finite volume scheme, we numerically show the smallness condition on the electron mass needed in the existence of solutions to the system, condition which has already been shown in the literature. In the quantum drift-diffusion model for the transient bipolar case in one-space dimension, we show, by using a time discretization and energy estimates, the existence of solutions (for a general doping profile). We also prove rigorously the quasineutral limit (for a vanishing doping profile). Finally, using a new time discretization and an algorithmic construction of entropies, we prove some regularity properties for the solutions of the equation obtained in the quasineutral limit (for a vanishing pressure). This new regularity permits us to prove the positivity of solutions to this equation for at least times large enough.

Diffusion of laser polarized gases in MRI

The use of Magnetic Resonance Imaging (MRI) as a diagnostic tool is increasingly employing functional contrast agents to study or contrast entire mechanisms. Contrast agents in MRI can be classified in two categories. One type of contrast agents alters the NMR signal of the protons in its surrounding, e.g. lowers the T1 relaxation time. The other type enhances the Nuclear Magnetic Resonance (NMR) signal of specific nuclei. For hyperpolarized gases the NMR signal is improved up to several orders of magnitude. However, gases have a high diffusivity which strongly influences the NMR signal strength, hence the resolution and appearance of the images. The most interesting question in spatially resolved experiments is of course the achievable resolution and contrast by controlling the diffusivity of the gas. The influence of such diffusive processes scales with the diffusion coefficient, the strength of the magnetic field gradients and the timings used in the experiment. Diffusion may not only limit the MRI resolution, but also distort the line shape of MR images for samples, which contain boundaries or diffusion barriers within the sampled space. In addition, due to the large polarization in gaseous 3He and 129Xe, spin diffusion (different from particle diffusion) could play a role in MRI experiments. It is demonstrated that for low temperatures some corrections to the NMR measured diffusion coefficient have to be done, which depend on quantum exchange effects for indistinguishable particles. Physically, if these effects can not change the spin current, they can do it indirectly by modifying the velocity distribution of the different spin states separately, so that the subsequent collisions between atoms and therefore the diffusion coefficient can eventually be affected. A detailed study of the hyperpolarized gas diffusion coefficient is presented, demonstrating the absence of spin diffusion (different from particle diffusion) influence in MRI at clinical conditions. A novel procedure is proposed to control the diffusion coefficient of gases in MRI by admixture of inert buffer gases. The experimental measured diffusion agrees with theoretical simulations. Therefore, the molecular mass and concentration enter as additional parameters into the equations that describe structural contrast. This allows for setting a structural threshold up to which structures contribute to the image. For MRI of the lung this allows for images of very small structural elements (alveoli) only, or in the other extreme, all airways can be displayed with minimal signal loss due to diffusion.

Au@Hg nanoalloy formation through direct amalgamation: Structural, spectroscopic, and computational evidence for slow nanoscale diffusion

Dynamic core-shell nanoparticles have received increasing attention in recent years. This paper presents a detailed study of Au-Hg nanoalloys, whose composing elements show a large difference in cohesive energy. A simple method to prepare Au@Hg particles with precise control over the composition up to 15 atom% mercury is introduced, based on reacting a citrate stabilized gold sol with elemental mercury. Transmission electron microscopy shows an increase of particle size with increasing mercury content and, together with X-ray powder diffraction, points towards the presence of a core-shell structure with a gold core surrounded by an Au-Hg solid solution layer. The amalgamation process is described by pseudo-zero-order reaction kinetics, which indicates slow dissolution of mercury in water as the rate determining step, followed by fast scavenging by nanoparticles in solution. Once adsorbed at the surface, slow diffusion of Hg into the particle lattice occurs, to a depth of ca. 3 nm, independent of Hg concentration. Discrete dipole approximation calculations relate the UV-vis spectra to the microscopic details of the nanoalloy structure. Segregation energies and metal distribution in the nanoalloys were modeled by density functional theory calculations. The results indicate slow metal interdiffusion at the nanoscale, which has important implications for synthetic methods aimed at core-shell particles.

Reaction Control in Quiescent Systems of Free-Radical Retrograde-Precipitation Polymerization

Free-radical retrograde-precipitation polymerization, FRRPP in short, is a novel polymerization process discovered by Dr. Gerard Caneba in the late 1980s. The current study is aimed at gaining a better understanding of the reaction mechanism of the FRRPP and its thermodynamically-driven features that are predominant in controlling the chain reaction. A previously developed mathematical model to represent free radical polymerization kinetics was used to simulate a classic bulk polymerization system from the literature. Unlike other existing models, such a sparse-matrix-based representation allows one to explicitly accommodate the chain length dependent kinetic parameters. Extrapolating from the past results, mixing was experimentally shown to be exerting a significant influence on reaction control in FRRPP systems. Mixing alone drives the otherwise severely diffusion-controlled reaction propagation in phase-separated polymer domains. Therefore, in a quiescent system, in the absence of mixing, it is possible to retard the growth of phase-separated domains, thus producing isolated polymer nanoparticles (globules). Such a diffusion-controlled, self-limiting phenomenon of chain growth was also observed using time-resolved small angle x-ray scattering studies of reaction kinetics in quiescent systems of FRRPP. Combining the concept of self-limiting chain growth in quiescent FRRPP systems with spatioselective reaction initiation of lithography, microgel structures were synthesized in a single step, without the use of molds or additives. Hard x-rays from the bending magnet radiation of a synchrotron were used as an initiation source, instead of the more statistally-oriented chemical initiators. Such a spatially-defined reaction was shown to be self-limiting to the irradiated regions following a polymerization-induced self-assembly phenomenon. The pattern transfer aspects of this technique were, therefore, studied in the FRRP polymerization of N-isopropylacrylamide (NIPAm) and methacrylic acid (MAA), a thermoreversible and ionic hydrogel, respectively. Reaction temperature increases the contrast between the exposed and unexposed zones of the formed microgels, while the irradiation dose is directly proportional to the extent of phase separation. The response of Poly (NIPAm) microgels prepared from the technique described in this study was also characterized by small angle neutron scattering.

Thermal release rate studies of nuclear reaction products from polycrystalline metal matrices

The thermal release rate of nuclear reaction products was investigated in offline annealing experiments. This work was motivated by the search for a high melting catcher material for recoiling products from heavy ion induced nuclear fusion reactions. Polycrystalline refractory metal foils of Ni, Y, Zr, Nb, Mo, Hf, W, and Re were investigated as catcher metals. Diffusion data for various tracer/host combinations were deduced from the measured release rates. This work focuses on the diffusion and the release rate of volatile p-elements from row 5 and 6 of the periodic table as lighter homologues of the superheavy elements with Z ≥ 113 to be studied in future experiments. A massive radiation damage enhancement of the diffusion velocity was observed. Diffusion trends have been established along the groups and rows of the periodic table based on the dependence of diffusion velocity on atomic sizes.

Reaction pathways in the solid state synthesis of multiferroic BiFeO 3

The obtaining of multiferroicBiFeO3 as a pure single-phase product is particularly complex since the formation of secondary phases seems to be unavoidable. The process by which these secondary impurities are formed is studied by analyzing the diffusion and solidstate reactivity of the Bi2O3–Fe2O3 system. Experimental evidence is reported which indicates that the progressive diffusion of Bi3+ ions into the Fe2O3 particles governs the solidstatesynthesis of the perovskite BiFeO3 phase. However a competition is established between the diffusion process which tends to complete the formation of BiFeO3, and the crystallization of stable Bi2Fe4O9 mullite crystals, which tend to block that formation reaction.

The internal structure of hydrogen-air difussion flames

The Internal Structure of Hydrogen-Air Diffusion Flames. Tho purpose of this paper is to study finite rate chemistry effects in diffusion controlled hydrogenair flames undor conditions appearing in some cases in a supersonic combustor. Since for large reaction rates the flame is close to chemical equilibrium, the reaction takes place in a very thin region, so thata "singular perturbation "treatment" of the problem seems appropriate. It has been shown previously that, within the inner or reaction zone, convection effects may be neglocted, the temperature is constant across the flame, and tho mass fraction distributions are given by ordinary differential equations, whore tho only independent variable involved is tho coordinate normal to the flame surface. Tho solution of the outer problom, which is a pure mixing problem with the additional condition that fuol and oxidizer do not coexist in any zone, provides t h e following information: tho flame position, rates of fuel consumption, temperature, concentrators of species, fluid velocity outside of tho flame, and the boundary conditions required to solve the "inner problem." The main contribution of this paper consists in the introduction of a fairly complicated chemical kinetic scheme representing hydrogen-oxygen reaction. The nonlinear equations expressing the conservation of chemical species are approximately integrated by means of an integral method. It has boen found that, in the case considered of a near-equilibrium diffusion flame, tho role played by the dissociation-recombination reactions is purely marginal, and that somo of the second order "shuffling" reactions are close to equilibrium. The method shown here may be applied to compute the distanco from the injector corresponding to a given separation from equilibrium, say ten to twenty percent. For the casos whore this length is a small fraction of the combustion zone length, the equilibrium treatment describes properly tho flame behavior.

Reaction pathways in the solid state synthesis of multiferroic BiFeO3

The obtaining of multiferroic BiFeO3 as a pure single-phase product is particularly complex since the formation of secondary phases seems to be unavoidable. The process by which these secondary impurities are formed is studied by analyzing the diffusion and solid state reactivity of the Bi2O3?Fe2O3 system. Experimental evidence is reported which indicates that the progressive diffusion of Bi3+ ions into the Fe2O3 particles governs the solid state synthesis of the perovskite BiFeO3 phase. However a competition is established between the diffusion process which tends to complete the formation of BiFeO3, and the crystallization of stable Bi2Fe4O9 mullite crystals, which tend to block that formation reaction.

Influence of Strouhal number on pulsating methane–air coflow jet diffusion flames

Four periodically time-varying methane–air laminar coflow jet diffusion flames, each forced by pulsating the fuel jet's exit velocity Uj sinusoidally with a different modulation frequency wj and with a 50% amplitude variation, have been computed. Combustion of methane has been modeled by using a chemical mechanism with 15 species and 42 reactions, and the solution of the unsteady Navier–Stokes equations has been obtained numerically by using a modified vorticity-velocity formulation in the limit of low Mach number. The effect of wj on temperature and chemistry has been studied in detail. Three different regimes are found depending on the flame's Strouhal number S=awj/Uj, with a denoting the fuel jet radius. For small Strouhal number (S=0.1), the modulation introduces a perturbation that travels very far downstream, and certain variables oscillate at the frequency imposed by the fuel jet modulation. As the Strouhal number grows, the nondimensional frequency approaches the natural frequency of oscillation of the flickering flame (S≃0.2). A coupling with the pulsation frequency enhances the effect of the imposed modulation and a vigorous pinch-off is observed for S=0.25 and S=0.5. Larger values of S confine the oscillation to the jet's near-exit region, and the effects of the pulsation are reduced to small wiggles in the temperature and concentration values. Temperature and species mass fractions change appreciably near the jet centerline, where variations of over 2% for the temperature and 15% and 40% for the CO and OH mass fractions, respectively, are found. Transverse to the jet movement, however, the variations almost disappear at radial distances on the order of the fuel jet radius, indicating a fast damping of the oscillation in the spanwise direction.

Dynamics of thermal ignition of spray flames in mixing layers

Conditions are identified under which analyses of laminar mixing layers can shed light on aspects of turbulent spray combustion. With this in mind, laminar spray-combustion models are formulated for both non-premixed and partially premixed systems. The laminar mixing layer separating a hot-air stream from a monodisperse spray carried by either an inert gas or air is investigated numerically and analytically in an effort to increase understanding of the ignition process leading to stabilization of high-speed spray combustion. The problem is formulated in an Eulerian framework, with the conservation equations written in the boundary-layer approximation and with a one-step Arrhenius model adopted for the chemistry description. The numerical integrations unveil two different types of ignition behaviour depending on the fuel availability in the reaction kernel, which in turn depends on the rates of droplet vaporization and fuel-vapour diffusion. When sufficient fuel is available near the hot boundary, as occurs when the thermochemical properties of heptane are employed for the fuel in the integrations, combustion is established through a precipitous temperature increase at a well-defined thermal-runaway location, a phenomenon that is amenable to a theoretical analysis based on activation-energy asymptotics, presented here, following earlier ideas developed in describing unsteady gaseous ignition in mixing layers. By way of contrast, when the amount of fuel vapour reaching the hot boundary is small, as is observed in the computations employing the thermochemical properties of methanol, the incipient chemical reaction gives rise to a slowly developing lean deflagration that consumes the available fuel as it propagates across the mixing layer towards the spray. The flame structure that develops downstream from the ignition point depends on the fuel considered and also on the spray carrier gas, with fuel sprays carried by air displaying either a lean deflagration bounding a region of distributed reaction or a distinct double-flame structure with a rich premixed flame on the spray side and a diffusion flame on the air side. Results are calculated for the distributions of mixture fraction and scalar dissipation rate across the mixing layer that reveal complexities that serve to identify differences between spray-flamelet and gaseous-flamelet problems.

A subgrid viscosity Lagrance-Galerkin method for convection-diffusion problems

We present and analyze a subgrid viscosity Lagrange-Galerk in method that combines the subgrid eddy viscosity method proposed in W. Layton, A connection between subgrid scale eddy viscosity and mixed methods. Appl. Math. Comp., 133: 14 7-157, 2002, and a conventional Lagrange-Galerkin method in the framework of P1⊕ cubic bubble finite elements. This results in an efficient and easy to implement stabilized method for convection dominated convection diffusion reaction problems. Numerical experiments support the numerical analysis results and show that the new method is more accurate than the conventional Lagrange-Galerkin one.

Proton transfer from the bulk to the bound ubiquinone QB of the reaction center in chromatophores of Rhodobacter sphaeroides: Retarded conveyance by neutral water

The mechanism of proton transfer from the bulk into the membrane protein interior was studied. The light-induced reduction of a bound ubiquinone molecule QB by the photosynthetic reaction center is accompanied by proton trapping. We used kinetic spectroscopy to measure (i) the electron transfer to QB (at 450 nm), (ii) the electrogenic proton delivery from the surface to the QB site (by electrochromic carotenoid response at 524 nm), and (iii) the disappearance of protons from the bulk solution (by pH indicators). The electron transfer to QB− and the proton-related electrogenesis proceeded with the same time constant of ≈100 μs (at pH 6.2), whereas the alkalinization in the bulk was distinctly delayed (τ ≈ 400 μs). We investigated the latter reaction as a function of the pH indicator concentration, the added pH buffers, and the temperature. The results led us to the following conclusions: (i) proton transfer from the surface-located acidic groups into the QB site followed the reduction of QB without measurable delay; (ii) the reprotonation of these surface groups by pH indicators and hydronium ions was impeded, supposedly, because of their slow diffusion in the surface water layer; and (iii) as a result, the protons were slowly donated by neutral water to refill the proton vacancies at the surface. It is conceivable that the same mechanism accounts for the delayed relaxation of the surface pH changes into the bulk observed previously with bacteriorhodopsin membranes and thylakoids. Concerning the coupling between proton pumps in bioenergetic membranes, our results imply a tendency for the transient confinement of protons at the membrane surface.

Fluorescence correlation analysis of probe diffusion simplifies quantitative pathogen detection by PCR

A sensitive, labor-saving, and easily automatable nonradioactive procedure named APEX-FCS (amplified probe extension detected by fluorescence correlation spectroscopy) has been established to detect specific in vitro amplification of pathogen genomic sequences. As an example, Mycobacterium tuberculosis genomic DNA was subjected to PCR amplification with the Stoffel fragment of Thermus aquaticus DNA polymerase in the presence of nanomolar concentrations of a rhodamine-labeled probe (third primer), binding to the target in between the micromolar amplification primers. The probe becomes extended only when specific amplification occurs. Its low concentration avoids false-positives due to unspecific hybridization under PCR conditions. With increasing portion of extended probe molecules, the probe’s average translational diffusion properties gradually change over the course of the reaction, reflecting amplification kinetics. Following PCR, this change from a stage of high to a stage of low mobility can directly be monitored during a 30-s measurement using a fluorescence correlation spectroscopy device. Quantitation down to 10 target molecules in a background of 2.5 μg unspecific DNA without post-PCR probe manipulations could be achieved with different primer/probe combinations. The assay holds the promise to concurrently perform amplification, probe hybridization, and specific detection without opening the reaction chamber, if sealable foils are used.