Extended factorizations of exponential functionals of Lévy processes

Pardo, Patie, and Savov derived, under mild conditions, a Wiener-Hopf type factorization for the exponential functional of proper Lévy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by considering the exponential functional for killed Lévy processes. As a by-product, we derive some interesting fine distributional properties enjoyed by a large class of this random variable, such as the absolute continuity of its distribution and the smoothness, boundedness or complete monotonicity of its density. This type of results is then used to derive similar properties for the law of maxima and first passage time of some stable Lévy processes. Thus, for example, we show that for any stable process with $\rho\in(0,\frac{1}{\alpha}-1]$, where $\rho\in[0,1]$ is the positivity parameter and $\alpha$ is the stable index, then the first passage time has a bounded and non-increasing density on $\mathbb{R}_+$. We also generate many instances of integral or power series representations for the law of the exponential functional of Lévy processes with one or two-sided jumps. The proof of our main results requires different devices from the one developed by Pardo, Patie, Savov. It relies in particular on a generalization of a transform recently introduced by Chazal et al together with some extensions to killed Lévy process of Wiener-Hopf techniques. The factorizations developed here also allow for further applications which we only indicate here also allow for further applications which we only indicate here.

A Wiener-Hopf type factorization for the exponential functional of Levy processes

For a Lévy process ξ=(ξt)t≥0 drifting to −∞, we define the so-called exponential functional as follows: Formula Under mild conditions on ξ, we show that the following factorization of exponential functionals: Formula holds, where × stands for the product of independent random variables, H− is the descending ladder height process of ξ and Y is a spectrally positive Lévy process with a negative mean constructed from its ascending ladder height process. As a by-product, we generate an integral or power series representation for the law of Iξ for a large class of Lévy processes with two-sided jumps and also derive some new distributional properties. The proof of our main result relies on a fine Markovian study of a class of generalized Ornstein–Uhlenbeck processes, which is itself of independent interest. We use and refine an alternative approach of studying the stationary measure of a Markov process which avoids some technicalities and difficulties that appear in the classical method of employing the generator of the dual Markov process.

Small time Chung-type LIL for Lévy processes

We prove Chung-type laws of the iterated logarithm for general Lévy processes at zero. In particular, we provide tools to translate small deviation estimates directly into laws of the iterated logarithm. This reveals laws of the iterated logarithm for Lévy processes at small times in many concrete examples. In some cases, exotic norming functions are derived.

A mathematical model of crystallization in an emulsion

A mathematical model incorporating many of the important processes at work in the crystallization of emulsions is presented. The model describes nucleation within the discontinuous domain of an emulsion, precipitation in the continuous domain, transport of monomers between the two domains, and formation and subsequent growth of crystals in both domains. The model is formulated as an autonomous system of nonlinear, coupled ordinary differential equations. The description of nucleation and precipitation is based upon the Becker–Döring equations of classical nucleation theory. A particular feature of the model is that the number of particles of all species present is explicitly conserved; this differs from work that employs Arrhenius descriptions of nucleation rate. Since the model includes many physical effects, it is analyzed in stages so that the role of each process may be understood. When precipitation occurs in the continuous domain, the concentration of monomers falls below the equilibrium concentration at the surface of the drops of the discontinuous domain. This leads to a transport of monomers from the drops into the continuous domain that are then incorporated into crystals and nuclei. Since the formation of crystals is irreversible and their subsequent growth inevitable, crystals forming in the continuous domain effectively act as a sink for monomers “sucking” monomers from the drops. In this case, numerical calculations are presented which are consistent with experimental observations. In the case in which critical crystal formation does not occur, the stationary solution is found and a linear stability analysis is performed. Bifurcation diagrams describing the loci of stationary solutions, which may be multiple, are numerically calculated.

Processes controlling surface, bottom and lateral melt of Arctic sea ice in a state of the art sea ice model

We present a modelling study of processes controlling the summer melt of the Arctic sea ice cover. We perform a sensitivity study and focus our interest on the thermodynamics at the ice–atmosphere and ice–ocean interfaces. We use the Los Alamos community sea ice model CICE, and additionally implement and test three new parametrization schemes: (i) a prognostic mixed layer; (ii) a three equation boundary condition for the salt and heat flux at the ice–ocean interface; and (iii) a new lateral melt parametrization. Recent additions to the CICE model are also tested, including explicit melt ponds, a form drag parametrization and a halodynamic brine drainage scheme. The various sea ice parametrizations tested in this sensitivity study introduce a wide spread in the simulated sea ice characteristics. For each simulation, the total melt is decomposed into its surface, bottom and lateral melt components to assess the processes driving melt and how this varies regionally and temporally. Because this study quantifies the relative importance of several processes in driving the summer melt of sea ice, this work can serve as a guide for future research priorities.

Temperature effects on a network of dissipative quantum harmonic oscillators: collective damping and dispersion processes

In this paper we extend the results presented in (de Ponte, Mizrahi and Moussa 2007 Phys. Rev. A 76 032101) to treat quantitatively the effects of reservoirs at finite temperature in a bosonic dissipative network: a chain of coupled harmonic oscillators whatever its topology, i.e., whichever the way the oscillators are coupled together, the strength of their couplings and their natural frequencies. Starting with the case where distinct reservoirs are considered, each one coupled to a corresponding oscillator, we also analyze the case where a common reservoir is assigned to the whole network. Master equations are derived for both situations and both regimes of weak and strong coupling strengths between the network oscillators. Solutions of these master equations are presented through the normal ordered characteristic function. These solutions are shown to be significantly involved when temperature effects are considered, making difficult the analysis of collective decoherence and dispersion in dissipative bosonic networks. To circumvent these difficulties, we turn to the Wigner distribution function which enables us to present a technique to estimate the decoherence time of network states. Our technique proceeds by computing separately the effects of dispersion and the attenuation of the interference terms of the Wigner function. A detailed analysis of the dispersion mechanism is also presented through the evolution of the Wigner function. The interesting collective dispersion effects are discussed and applied to the analysis of decoherence of a class of network states. Finally, the entropy and the entanglement of a pure bipartite system are discussed.

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.

Mathematical tests about the existence and applications of PPS-wavelets in function approximation problems

Neural networks and wavelet transform have been recently seen as attractive tools for developing eficient solutions for many real world problems in function approximation. Function approximation is a very important task in environments where computation has to be based on extracting information from data samples in real world processes. So, mathematical model is a very important tool to guarantee the development of the neural network area. In this article we will introduce one series of mathematical demonstrations that guarantee the wavelets properties for the PPS functions. As application, we will show the use of PPS-wavelets in pattern recognition problems of handwritten digit through function approximation techniques.

Mathematical models of generalized diffusion

We discuss in this paper equations describing processes involving non-linear and higher-order diffusion. We focus on a particular case (u(t) = 2 lambda (2)(uu(x))(x) + lambda (2)u(xxxx)), which is put into analogy with the KdV equation. A balance of nonlinearity and higher-order diffusion enables the existence of self-similar solutions, describing diffusive shocks. These shocks are continuous solutions with a discontinuous higher-order derivative at the shock front. We argue that they play a role analogous to the soliton solutions in the dispersive case. We also discuss several physical instances where such equations are relevant.

A fuzzy inference system for identification of crossflow filtration processes

The crossflow filtration process differs of the conventional filtration by presenting the circulation flow tangentially to the filtration surface. The conventional mathematical models used to represent the process have some limitations in relation to the identification and generalization of the system behavior. In this paper, a system based on fuzzy logic systems is developed to overcome the problems usually found in the conventional mathematical models. Imprecisions and uncertainties associated with the measurements made on the system are automatically incorporated in the fuzzy approach. Simulation results are presented to justify the validity of the proposed approach.

Applying fuzzy logic systems in the estimation of crossflow filtration processes

The crossflow filtration process differs of the conventional filtration by presenting the circulation flow tangentially to the filtration surface. The conventional mathematical models used to represent the process have some limitations in relation to the identification and generalization of the system behavior. In this paper, a system based on fuzzy logic systems is developed to overcome the problems usually found in the conventional mathematical models. Imprecisions and uncertainties associated with the measurements made on the system are automatically incorporated in the fuzzy approach. Simulation results are presented to justify the validity of the proposed approach.

Mapping lightning processes using fuzzy inference system

This paper describes a novel approach for mapping lightning processes using fuzzy logic. The core regarding lightning process is to identify and to model those uncertain information on mathematical principles. In fact, the lightning process involves several nonlinear features that our current mathematical tools would not be able to model. The estimation process has been carried out using a fuzzy system based on Sugeno's architecture. Simulation results confirm that proposed approach can be efficiently used in these types of problem.