On the q=1/2 non-extensive maximum entropy distribution

A detailed mathematical analysis on the q = 1/2 non-extensive maximum entropydistribution of Tsallis' is undertaken. The analysis is based upon the splitting of such adistribution into two orthogonal components. One of the components corresponds to theminimum norm solution of the problem posed by the fulfillment of the a priori conditionson the given expectation values. The remaining component takes care of the normalizationconstraint and is the projection of a constant onto the Null space of the "expectation-values-transformation"

A non-extensive maximum entropy based regulations method for bad conditioned inverse problems

A regularization method based on the non-extensive maximum entropy principle is devised. Special emphasis is given to the q=1/2 case. We show that, when the residual principle is considered as constraint, the q=1/2 generalized distribution of Tsallis yields a regularized solution for bad-conditioned problems. The so devised regularized distribution is endowed with a component which corresponds to the well known regularized solution of Tikhonov (1977).

Ehrenfest dynamics is purity non-preserving: a necessary ingredient for decoherence

We discuss the evolution of purity in mixed quantum/classical approaches to electronic nonadiabatic dynamics in the context of the Ehrenfest model. As it is impossible to exactly determine initial conditions for a realistic system, we choose to work in the statistical Ehrenfest formalism that we introduced in Alonso et al. [J. Phys. A: Math. Theor. 44, 396004 (2011)10.1088/1751-8113/44/39/395004]. From it, we develop a new framework to determine exactly the change in the purity of the quantum subsystem along with the evolution of a statistical Ehrenfest system. In a simple case, we verify how and to which extent Ehrenfest statistical dynamics makes a system with more than one classical trajectory, and an initial quantum pure state become a quantum mixed one. We prove this numerically showing how the evolution of purity depends on time, on the dimension of the quantum state space D, and on the number of classical trajectories N of the initial distribution. The results in this work open new perspectives for studying decoherence with Ehrenfest dynamics.

Effective Electrodiffusion equation for non uniform nanochannels

We derive a one dimensional formulation of the Planck-Nernst-Poisson equation to describe the dynamics of of a symmetric binary electrolyte in channels whose section is of nanometric section and varies along the axial direction. The approach is in the spirit of the Fick-Jacobs di fusion equation and leads to a system of coupled equations for the partial densities which depends on the charge sitting at the walls in a non trivial fashion. We consider two kinds of non uniformities, those due to the spatial variation of charge distribution and those due to the shape variation of the pore and report one and three-dimensional solutions of the electrokinetic equations.

A statistical mechanical approach for the computation of the climatic response to general forcings

The climate belongs to the class of non-equilibrium forced and dissipative systems, for which most results of quasi-equilibrium statistical mechanics, including the fluctuation-dissipation theorem, do not apply. In this paper we show for the first time how the Ruelle linear response theory, developed for studying rigorously the impact of perturbations on general observables of non-equilibrium statistical mechanical systems, can be applied with great success to analyze the climatic response to general forcings. The crucial value of the Ruelle theory lies in the fact that it allows to compute the response of the system in terms of expectation values of explicit and computable functions of the phase space averaged over the invariant measure of the unperturbed state. We choose as test bed a classical version of the Lorenz 96 model, which, in spite of its simplicity, has a well-recognized prototypical value as it is a spatially extended one-dimensional model and presents the basic ingredients, such as dissipation, advection and the presence of an external forcing, of the actual atmosphere. We recapitulate the main aspects of the general response theory and propose some new general results. We then analyze the frequency dependence of the response of both local and global observables to perturbations having localized as well as global spatial patterns. We derive analytically several properties of the corresponding susceptibilities, such as asymptotic behavior, validity of Kramers-Kronig relations, and sum rules, whose main ingredient is the causality principle. We show that all the coefficients of the leading asymptotic expansions as well as the integral constraints can be written as linear function of parameters that describe the unperturbed properties of the system, such as its average energy. Some newly obtained empirical closure equations for such parameters allow to define such properties as an explicit function of the unperturbed forcing parameter alone for a general class of chaotic Lorenz 96 models. We then verify the theoretical predictions from the outputs of the simulations up to a high degree of precision. The theory is used to explain differences in the response of local and global observables, to define the intensive properties of the system, which do not depend on the spatial resolution of the Lorenz 96 model, and to generalize the concept of climate sensitivity to all time scales. We also show how to reconstruct the linear Green function, which maps perturbations of general time patterns into changes in the expectation value of the considered observable for finite as well as infinite time. Finally, we propose a simple yet general methodology to study general Climate Change problems on virtually any time scale by resorting to only well selected simulations, and by taking full advantage of ensemble methods. The specific case of globally averaged surface temperature response to a general pattern of change of the CO2 concentration is discussed. We believe that the proposed approach may constitute a mathematically rigorous and practically very effective way to approach the problem of climate sensitivity, climate prediction, and climate change from a radically new perspective.

CONSTRAINING THE NONEXTENSIVE MASS FUNCTION OF HALOS FROM BAO, CMB AND X-RAY DATA

Clusters of galaxies are the most impressive gravitationally-bound systems in the universe, and their abundance (the cluster mass function) is an important statistic to probe the matter density parameter (Omega(m)) and the amplitude of density fluctuations (sigma(8)). The cluster mass function is usually described in terms of the Press-Schecther (PS) formalism where the primordial density fluctuations are assumed to be a Gaussian random field. In previous works we have proposed a non-Gaussian analytical extension of the PS approach with basis on the q-power law distribution (PL) of the nonextensive kinetic theory. In this paper, by applying the PL distribution to fit the observational mass function data from X-ray highest flux-limited sample (HIFLUGCS), we find a strong degeneracy among the cosmic parameters, sigma(8), Omega(m) and the q parameter from the PL distribution. A joint analysis involving recent observations from baryon acoustic oscillation (BAO) peak and Cosmic Microwave Background (CMB) shift parameter is carried out in order to break these degeneracy and better constrain the physically relevant parameters. The present results suggest that the next generation of cluster surveys will be able to probe the quantities of cosmological interest (sigma(8), Omega(m)) and the underlying cluster physics quantified by the q-parameter.

Aging and stationary properties of non-equilibrium symmetrical three-state models

We consider a non-equilibrium three-state model whose dynamics is Markovian and displays the same symmetry as the three-state Potts model, i.e. the transition rates are invariant under the cyclic permutation of the states. Unlike the Potts model, detailed balance is, in general, not satisfied. The aging and the stationary properties of the model defined on a square lattice are obtained by means of large-scale Monte Carlo simulations. We show that the phase diagram presents a critical line, belonging to the three-state Potts universality class, that ends at a point whose universality class is that of the Voter model. Aging is considered on the critical line, at the Voter point and in the ferromagnetic phase.

An information-theoretic approach to statistical dependence: Copula information

We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with the latter quantified by the mutual information. We define the information excess as a measure of deviation from a maximum-entropy distribution. The idea of marginal invariant dependence measures is also discussed and used to show that empirical linear correlation underestimates the amplitude of the actual correlation in the case of non-Gaussian marginals. The mutual information is shown to provide an upper bound for the asymptotic empirical log-likelihood of a copula. An analytical expression for the information excess of T-copulas is provided, allowing for simple model identification within this family. We illustrate the framework in a financial data set. Copyright (C) EPLA, 2009

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Suppressing Fermi acceleration in a two-dimensional non-integrable time-dependent oval-shaped billiard with inelastic collisions

Some dynamical properties of a classical particle confined inside a closed region with an oval-shaped boundary are studied. We have considered both the static and time-dependent boundaries. For the static case, the condition that destroys the invariant spanning curves in the phase space was obtained. For the time-dependent perturbation, two situations were considered: (i) non-dissipative and (ii) dissipative. For the non-dissipative case, our results show that Fermi acceleration is observed. When dissipation, via inelastic collisions, is introduced Fermi acceleration is suppressed. The behaviour of the average velocity for both the dissipative as well as the non-dissipative dynamics is described using the scaling approach. (C) 2009 Elsevier B.V. All rights reserved.

Non-uniform drag force on the Fermi accelerator model

Some dynamical properties of a particle suffering the action of a generic drag force are obtained for a dissipative Fermi Acceleration model. The dissipation is introduced via a viscous drag force, like a gas, and is assumed to be proportional to a power of the velocity: F alpha -nu(gamma). The dynamics is described by a two-dimensional nonlinear area-contracting mapping obtained via the solution of Newton's second law of motion. We prove analytically that the decay of high energy is given by a continued fraction which recovers the following expressions: (i) linear for gamma = 1; (ii) exponential for gamma = 2; and (iii) second-degree polynomial type for gamma = 1.5. Our results are discussed for both the complete version and the simplified version. The procedure used in the present paper can be extended to many different kinds of system, including a class of billiards problems.

Non-Markovian expansion in quantum Brownian motion

We consider the non-Markovian Langevin evolution of a dissipative dynamical system in quantum mechanics in the path integral formalism. After discussing the role of the frequency cutoff for the interaction of the system with the heat bath and the kernel and noise correlator that follow from the most common choices, we derive an analytic expansion for the exact non-Markovian dissipation kernel and the corresponding colored noise in the general case that is consistent with the fluctuation-dissipation theorem and incorporates systematically non-local corrections. We illustrate the modifications to results obtained using the traditional (Markovian) Langevin approach in the case of the exponential kernel and analyze the case of the non-Markovian Brownian motion. We present detailed results for the free and the quadratic cases, which can be compared to exact solutions to test the convergence of the method, and discuss potentials of a general nonlinear form. © 2013 Elsevier B.V. All rights reserved.

Generalizações do movimento browniano e suas aplicações à física e a finanças

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Self-consistency in non-extensive thermodynamics of highly excited hadronic states

The self-consistency of a thermodynamical theory for hadronic systems based on the non-extensive statistics is investigated. We show that it is possible to obtain a self-consistent theory according to the asymptotic bootstrap principle if the mass spectrum and the energy density increase q-exponentially. A direct consequence is the existence of a limiting effective temperature for the hadronic system. We show that this result is in agreement with experiments. (C) 2012 Elsevier B.V. All rights reserved.

General gaussian priors for improved generalisation

We explore the dependence of performance measures, such as the generalization error and generalization consistency, on the structure and the parameterization of the prior on `rules', instanced here by the noisy linear perceptron. Using a statistical mechanics framework, we show how one may assign values to the parameters of a model for a `rule' on the basis of data instancing the rule. Information about the data, such as input distribution, noise distribution and other `rule' characteristics may be embedded in the form of general gaussian priors for improving net performance. We examine explicitly two types of general gaussian priors which are useful in some simple cases. We calculate the optimal values for the parameters of these priors and show their effect in modifying the most probable, MAP, values for the rules.