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.

Calculation of the eigenfunctions of the two-group neutron diffusion equation and application to modal decomposition of BWR instabilities

In this thesis, numerical methods aiming at determining the eigenfunctions, their adjoint and the corresponding eigenvalues of the two-group neutron diffusion equations representing any heterogeneous system are investigated. First, the classical power iteration method is modified so that the calculation of modes higher than the fundamental mode is possible. Thereafter, the Explicitly-Restarted Arnoldi method, belonging to the class of Krylov subspace methods, is touched upon. Although the modified power iteration method is a computationally-expensive algorithm, its main advantage is its robustness, i.e. the method always converges to the desired eigenfunctions without any need from the user to set up any parameter in the algorithm. On the other hand, the Arnoldi method, which requires some parameters to be defined by the user, is a very efficient method for calculating eigenfunctions of large sparse system of equations with a minimum computational effort. These methods are thereafter used for off-line analysis of the stability of Boiling Water Reactors. Since several oscillation modes are usually excited (global and regional oscillations) when unstable conditions are encountered, the characterization of the stability of the reactor using for instance the Decay Ratio as a stability indicator might be difficult if the contribution from each of the modes are not separated from each other. Such a modal decomposition is applied to a stability test performed at the Swedish Ringhals-1 unit in September 2002, after the use of the Arnoldi method for pre-calculating the different eigenmodes of the neutron flux throughout the reactor. The modal decomposition clearly demonstrates the excitation of both the global and regional oscillations. Furthermore, such oscillations are found to be intermittent with a time-varying phase shift between the first and second azimuthal modes.

A comprehensive study of the 26th December 2004 Sumatra earthquake: possible implications on Earth rotation and investigations on the coseismic and postseismic stress diffusion associated with the seismic rupture

In this work a multidisciplinary study of the December 26th, 2004 Sumatra earthquake has been carried out. We have investigated both the effect of the earthquake on the Earth rotation and the stress field variations associated with the seismic event. In the first part of the work we have quantified the effects of a water mass redistribution associated with the propagation of a tsunami wave on the Earth’s pole path and on the length-of-day (LOD) and applied our modeling results to the tsunami following the 2004 giant Sumatra earthquake. We compared the result of our simulations on the instantaneous rotational axis variations with some preliminary instrumental evidences on the pole path perturbation (which has not been confirmed yet) registered just after the occurrence of the earthquake, which showed a step-like discontinuity that cannot be attributed to the effect of a seismic dislocation. Our results show that the perturbation induced by the tsunami on the instantaneous rotational pole is characterized by a step-like discontinuity, which is compatible with the observations but its magnitude turns out to be almost one hundred times smaller than the detected one. The LOD variation induced by the water mass redistribution turns out to be not significant because the total effect is smaller than current measurements uncertainties. In the second part of this work of thesis we modeled the coseismic and postseismic stress evolution following the Sumatra earthquake. By means of a semi-analytical, viscoelastic, spherical model of global postseismic deformation and a numerical finite-element approach, we performed an analysis of the stress diffusion following the earthquake in the near and far field of the mainshock source. We evaluated the stress changes due to the Sumatra earthquake by projecting the Coulomb stress over the sequence of aftershocks taken from various catalogues in a time window spanning about two years and finally analyzed the spatio-temporal pattern. The analysis performed with the semi-analytical and the finite-element modeling gives a complex picture of the stress diffusion, in the area under study, after the Sumatra earthquake. We believe that the results obtained with the analytical method suffer heavily for the restrictions imposed, on the hypocentral depths of the aftershocks, in order to obtain the convergence of the harmonic series of the stress components. On the contrary we imposed no constraints on the numerical method so we expect that the results obtained give a more realistic description of the stress variations pattern.

Untersuchung der Ordnung und Diffusion von Polymerdispersionen bei ihrer Verfilmung

Im Rahmen dieser Arbeit wurde die, für industrielle Applikationen sehr wichtige, Trocknung und Verfilmung von Latexdispersionen untersucht. Unter der Verfilmung wird in diesem Zusammenhang allgemein der Übergang einer Polymerdispersion in einen transparenten, mechanisch stabilen Polymerfilm während ihrer Trocknung verstanden. Für die Untersuchungen wurden schwerpunktmäßig Streumethoden verwendet. Die Untersuchungen haben gezeigt, daß die Streuung eine besonders geeignete Methode zur Untersuchung der Verfilmung ist, die in Abhängigkeit des beobachteten Streuvektorbereichs, der verwendeten Strahlung, der Probenpräparation und des resultierenden Kontrasts eine Vielzahl unterschiedlicher Informationen über die Verfilmung in ihren verschiedenen Phasen liefert. Von besonderem Interesse war es, den prinzipiellen Verlauf der Verfilmung bei den heterogen trocknenden Reinacrylatlatices zu untersuchen. Dazu wurde mit Hilfe der Röntgenultrakleinwinkelstreuung gezielt der Zustand der Partikel in den einzelnen Phasen der heterogen trocknenden Proben beobachtet. Mit Hilfe der Neutronenkleinwinkelstreuung konnte das Verhalten des Emulgators während der Verfilmung und dessen Verteilung im resultierenden Film genauer untersucht werden. Die Röntgenkleinwinkelstreuung erlaubte eine eingehende Untersuchung der Kristallisation des Emulgators im trockenen Film. Geeignete Kontrastierung durch gezielte Deuterierung ermöglichte die Untersuchung des Comonomereinflusses auf die Interdiffusion von Latexpartikeln mit Neutronenkleinwinkelstreuung. Aus den Meßergebnissen wurde ein Modell zur heterogenen Trocknung von Latexdispersionen entwickelt, das den Ablauf der Verfilmung in einem konsistenten Bild zusammenfaßt.

Bistable elliptic equations with fractional diffusion

This work concerns the study of bounded solutions to elliptic nonlinear equations with fractional diffusion. More precisely, the aim of this thesis is to investigate some open questions related to a conjecture of De Giorgi about the one-dimensional symmetry of bounded monotone solutions in all space, at least up to dimension 8. This property on 1-D symmetry of monotone solutions for fractional equations was known in dimension n=2. The question remained open for n>2. In this work we establish new sharp energy estimates and one-dimensional symmetry property in dimension 3 for certain solutions of fractional equations. Moreover we study a particular type of solutions, called saddle-shaped solutions, which are the candidates to be global minimizers not one-dimensional in dimensions bigger or equal than 8. This is an open problem and it is expected to be true from the classical theory of minimal surfaces.

Partial reconstruction of the trajectories of a discretely observed branching diffusion with immigration and an application to inference

In this treatise we consider finite systems of branching particles where the particles move independently of each other according to d-dimensional diffusions. Particles are killed at a position dependent rate, leaving at their death position a random number of descendants according to a position dependent reproduction law. In addition particles immigrate at constant rate (one immigrant per immigration time). A process with above properties is called a branching diffusion withimmigration (BDI). In the first part we present the model in detail and discuss the properties of the BDI under our basic assumptions. In the second part we consider the problem of reconstruction of the trajectory of a BDI from discrete observations. We observe positions of the particles at discrete times; in particular we assume that we have no information about the pedigree of the particles. A natural question arises if we want to apply statistical procedures on the discrete observations: How can we find couples of particle positions which belong to the same particle? We give an easy to implement 'reconstruction scheme' which allows us to redraw or 'reconstruct' parts of the trajectory of the BDI with high accuracy. Moreover asymptotically the whole path can be reconstructed. Further we present simulations which show that our partial reconstruction rule is tractable in practice. In the third part we study how the partial reconstruction rule fits into statistical applications. As an extensive example we present a nonparametric estimator for the diffusion coefficient of a BDI where the particles move according to one-dimensional diffusions. This estimator is based on the Nadaraya-Watson estimator for the diffusion coefficient of one-dimensional diffusions and it uses the partial reconstruction rule developed in the second part above. We are able to prove a rate of convergence of this estimator and finally we present simulations which show that the estimator works well even if we leave our set of assumptions.

Analysis of nonlinear diffusion equations of second and fourth order

Wegen der fortschreitenden Miniaturisierung von Halbleiterbauteilen spielen Quanteneffekte eine immer wichtigere Rolle. Quantenphänomene werden gewöhnlich durch kinetische Gleichungen beschrieben, aber manchmal hat eine fluid-dynamische Beschreibung Vorteile: die bessere Nutzbarkeit für numerische Simulationen und die einfachere Vorgabe von Randbedingungen. In dieser Arbeit werden drei Diffusionsgleichungen zweiter und vierter Ordnung untersucht. Der erste Teil behandelt die implizite Zeitdiskretisierung und das Langzeitverhalten einer degenerierten Fokker-Planck-Gleichung. Der zweite Teil der Arbeit besteht aus der Untersuchung des viskosen Quantenhydrodynamischen Modells in einer Raumdimension und dessen Langzeitverhaltens. Im letzten Teil wird die Existenz von Lösungen einer parabolischen Gleichung vierter Ordnung in einer Raumdimension bewiesen, und deren Langzeitverhalten studiert.

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.

Diffusion in polymer systems studied by fluorescence correlation spectroscopy

Fluorescence correlation spectroscopy (FCS) is a powerful technique to determine the diffusion of fluorescence molecules in various environments. The technique is based on detecting and analyzing the fluctuation of fluorescence light emitted by fluorescence species diffusing through a small and fixed observation volume, formed by a laser focused into the sample. Because of its great potential and high versatility in addressing the diffusion and transport properties in complex systems, FCS has been successfully applied to a great variety of systems. In my thesis, I focused on the application of FCS to study the diffusion of fluorescence molecules in organic environments, especially in polymer melts. In order to examine our FCS setup and a developed measurement protocol, I first utilized FCS to measure tracer diffusion in polystyrene (PS) solutions, for which abundance data exist in the literature. I studied molecular and polymeric tracer diffusion in polystyrene solutions over a broad range of concentrations and different tracer and matrix molecular weights (Mw). Then FCS was further established to study tracer dynamics in polymer melts. In this part I investigated the diffusion of molecular tracers in linear flexible polymer melts [polydimethylsiloxane (PDMS), polyisoprene (PI)], a miscible polymer blend [PI and poly vinyl ethylene (PVE)], and star-shaped polymer [3-arm star polyisoprene (SPI)]. The effects of tracer sizes, polymer Mw, polymer types, and temperature on the diffusion coefficients of small tracers were discussed. The distinct topology of the host polymer, i.e. star polymer melt, revealed the notably different motion of the small tracer, as compared to its linear counterpart. Finally, I emphasized the advantage of the small observation volume which allowed FCS to investigate the tracer diffusions in heterogeneous systems; a swollen cross-linked PS bead and silica inverse opals, where high spatial resolution technique was required.

Diffusion maps in the Subriemannian motion group and perceptual grouping

Il presente lavoro è motivato dal problema della constituzione di unità percettive a livello della corteccia visiva primaria V1. Si studia dettagliatamente il modello geometrico di Citti-Sarti con particolare attenzione alla modellazione di fenomeni di associazione visiva. Viene studiato nel dettaglio un modello di connettività. Il contributo originale risiede nell'adattamento del metodo delle diffusion maps, recentemente introdotto da Coifman e Lafon, alla geometria subriemanniana della corteccia visiva. Vengono utilizzati strumenti di teoria del potenziale, teoria spettrale, analisi armonica in gruppi di Lie per l'approssimazione delle autofunzioni dell'operatore del calore sul gruppo dei moti rigidi del piano. Le autofunzioni sono utilizzate per l'estrazione di unità percettive nello stimolo visivo. Sono presentate prove sperimentali e originali delle capacità performanti del metodo.

Tracer diffusion at water-oil interfaces studied by fluorescence correlation spectroscopy

The adsorption of particles and surfactants at water-oil interfaces has attracted continuous attention because of its emulsion stabilizing effect and the possibility to form two-dimensional materials. Herein, I studied the interfacial diffusion of single molecules and nanoparticles at water-oil interfaces using fluorescence correlation spectroscopy. rnrnFluorescence correlation spectroscopy (FCS) is a promising technique to study diffusion of fluorescent tracers in diverse conditions. This technique monitors and analyzes the fluorescence fluctuation caused by single fluorescent tracers coming in and out of a diffraction-limited observation volume “one at a time”. Thus, this technique allows a combination of high precision, high spatial resolution and low tracer concentration. rnrnIn chapter 1, I discussed some controversial questions regarding the properties of water-hydrophobic interfaces and also introduced the current progress on the stability and dynamic of single nanoparticles at water-oil interfaces. The materials and setups I used in this thesis were summarized in chapter 2. rnrnIn chapter 3, I presented a new strategy to study the properties of water-oil interfaces. The two-dimensional diffusion of isolated molecular tracers at water/n-alkane interfaces was measured using fluorescence correlation spectroscopy. The diffusion coefficients of larger tracers with a hydrodynamic radius of 4.0 nm agreed well with the values calculated from the macroscopic viscosities of the two bulk phases. However, for small molecule tracers with hydrodynamic radii of only 1.0 and 0.6 nm, notable deviations were observed, indicating the existence of an interfacial region with a reduced effective viscosity. rnrnIn chapter 4, the interfacial diffusion of nanoparticles at water-oil interfaces was investigated using FCS. In stark contrast to the interfacial diffusion of molecular tracers, that of nanoparticles at any conditions is slower than the values calculated in accordance to the surrounding viscosity. The diffusion of nanoparticles at water-oil interfaces depended on the interfacial tension of liquid-liquid interfaces, the surface properties of nanoparticles, the particle sizes and the viscosities of surrounding liquid phases. In addition, the interfacial diffusion of nanoparticles with Janus motif is even slower than that of their symmetric counterparts. Based on the experimental results I obtained, I drew some possibilities to describe the origin of nanoparticle slowdown at water-oil interfaces.

Preconditioning strategies for the numerical solution of convection-diffusion partial differential equations

Il trattamento numerico dell'equazione di convezione-diffusione con le relative condizioni al bordo, comporta la risoluzione di sistemi lineari algebrici di grandi dimensioni in cui la matrice dei coefficienti è non simmetrica. Risolutori iterativi basati sul sottospazio di Krylov sono ampiamente utilizzati per questi sistemi lineari la cui risoluzione risulta particolarmente impegnativa nel caso di convezione dominante. In questa tesi vengono analizzate alcune strategie di precondizionamento, atte ad accelerare la convergenza di questi metodi iterativi. Vengono confrontati sperimentalmente precondizionatori molto noti come ILU e iterazioni di tipo inner-outer flessibile. Nel caso in cui i coefficienti del termine di convezione siano a variabili separabili, proponiamo una nuova strategia di precondizionamento basata sull'approssimazione, mediante equazione matriciale, dell'operatore differenziale di convezione-diffusione. L'azione di questo nuovo precondizionatore sfrutta in modo opportuno recenti risolutori efficienti per equazioni matriciali lineari. Vengono riportati numerosi esperimenti numerici per studiare la dipendenza della performance dei diversi risolutori dalla scelta del termine di convezione, e dai parametri di discretizzazione.