Estimativa do expoente de Hurst, por meio da transformada Wavelet, de séries temporais de precipitação de chuvas das regiões climáticas do estado de São Paulo no período de 1978 a 1997

Pós-graduação em Física - IGCE

Cálculo fracionário aplicado ao movimento browniano

This work aims to study several diffusive regimes, especially Brownian motion. We deal with problems involving anomalous diffusion using the method of fractional derivatives and fractional integrals. We introduce concepts of fractional calculus and apply it to the generalized Langevin equation. Through the fractional Laplace transform we calculate the values of diffusion coefficients for two super diffusive cases, verifying the validity of the method

Superdiffusion in a non-Markovian random walk model with a Gaussian memory profile

Most superdiffusive Non-Markovian random walk models assume that correlations are maintained at all time scales, e. g., fractional Brownian motion, Levy walks, the Elephant walk and Alzheimer walk models. In the latter two models the random walker can always "remember" the initial times near t = 0. Assuming jump size distributions with finite variance, the question naturally arises: is superdiffusion possible if the walker is unable to recall the initial times? We give a conclusive answer to this general question, by studying a non-Markovian model in which the walker's memory of the past is weighted by a Gaussian centered at time t/2, at which time the walker had one half the present age, and with a standard deviation sigma t which grows linearly as the walker ages. For large widths we find that the model behaves similarly to the Elephant model, but for small widths this Gaussian memory profile model behaves like the Alzheimer walk model. We also report that the phenomenon of amnestically induced persistence, known to occur in the Alzheimer walk model, arises in the Gaussian memory profile model. We conclude that memory of the initial times is not a necessary condition for generating (log-periodic) superdiffusion. We show that the phenomenon of amnestically induced persistence extends to the case of a Gaussian memory profile.

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.

Theoretical investigation of the interaction of a polymer film with a nanoparticle

The fundamental aim in our investigation of the interaction of a polymer film with a nanoparticle is the extraction of information on the dynamics of the liquid using a single tracking particle. In this work two theoretical methods were used: one passive, where the motion of the particle measures the dynamics of the liquid, one active, where perturbations in the system are introduced through the particle. In the first part of this investigation a thin polymeric film on a substrate is studied using molecular dynamics simulations. The polymer is modeled via a 'bead spring' model. The particle is spheric and non structured and is able to interact with the monomers via a Lennard Jones potential. The system is micro-canonical and simulations were performed for average temperatures between the glass transition temperature of the film and its dewetting temperature. It is shown that the stability of the nanoparticle on the polymer film in the absence of gravity depends strongly on the form of the chosen interaction potential between nanoparticle and polymer. The relative position of the tracking particle to the liquid vapor interface of the polymer film shows the glass transition of the latter. The velocity correlation function and the mean square displacement of the particle has shown that it is caged when the temperature is close to the glass transition temperature. The analysis of the dynamics at long times shows the coupling of the nanoparticle to the center of mass of the polymer chains. The use of the Stokes-Einstein formula, which relates the diffusion coefficient to the viscosity, permits to use the nanoparticle as a probe for the determination of the bulk viscosity of the melt, the so called 'microrheology'. It is shown that for low frequencies the result obtained using microrheology coincides with the results of the Rouse model applied to the polymer dynamics. In the second part of this investigation the equations of Linear Hydrodynamics are solved for a nanoparticle oscillating above the film. It is shown that compressible liquids have mechanical response to external perturbations induced with the nanoparticle. These solutions show strong velocity and pressure profiles of the liquid near the interface, as well as a mechanical response of the liquid-vapor interface. The results obtained with this calculations can be employed for the interpretation of experimental results of non contact AFM microscopy

Mechanics and dynamics of liposomes and cells studied by QCM and ECIS

The present thesis introduces a novel sensitive technique based on TSM resonators that provides quantitative information about the dynamic properties of biological cells and artificial lipid systems. In order to support and complement results obtained by this method supplementary measurements based on ECIS technique were carried out. The first part (chapters 3 and 4) deals with artificial lipid systems. In chapter 3 ECIS measurements were used to monitor the adsorption of giant unilamellar vesicles as well as their thermal fluctuations. From dynamic Monte Carlo Simulations the rate constant of vesicle adsorption was determined. Furthermore, analysis of fluctuation measurements reveals Brownian motion reflecting membrane undulations of the adherent liposomes. In chapter 4 QCM-based fluctuation measurements were applied to quantify nanoscopically small deformations of giant unilamellar vesicles with an external electrical field applied simultaneously. The response of liposomes to an external voltage with shape changes was monitored as a function of cholesterol content and adhesion force. In the second part (chapters 5 - 8) attention was given to cell motility. It was shown for the first time, that QCM can be applied to monitor the dynamics of living adherent cells in real time. QCM turned out to be a highly sensitive tool to detect the vertical motility of adherent cells with a time resolution in the millisecond regime. The response of cells to environmental changes such as temperature or osmotic stress could be quantified. Furthermore, the impact of cytochalasin D (inhibits actin polymerization) and taxol (facilitate polymerization of microtubules) as well as nocodazole (depolymerizes microtubules) on the dynamic properties of cells was scrutinized. Each drug provoked a significant reduction of the monitored cell shape fluctuations as expected from their biochemical potential. However, not only the abolition of fluctuations was observed but also an increase of motility due to integrin-induced transmembrane signals. These signals were activated by peptides containing the RGD sequence, which is known to be an integrin recognition motif. Ultimately, two pancreatic carcinoma cell lines, derived from the same original tumor, but known to possess different metastatic potential were studied. Different dynamic behavior of the two cell lines was observed which was attributed to cell-cell as well as cell-substrate interactions rather than motility. Thus one may envision that it might be possible to characterize the motility of different cell types as a function of many variables by this new highly sensitive technique based on TSM resonators. Finally the origin of the broad cell resonance was investigated. Improvement of the time resolution reveals the "real" frequency of cell shape fluctuations. Several broad resonances around 3-5 Hz, 15-17 Hz and 25-29 Hz were observed and that could unequivocally be assigned to biological activity of living cells. However, the kind of biological process that provokes this synchronized collective and periodic behavior of the cells remains to be elucidated.

A moment symbolic representation of Lévy processes with applications

By using a symbolic method, known in the literature as the classical umbral calculus, a symbolic representation of Lévy processes is given and a new family of time-space harmonic polynomials with respect to such processes, which includes and generalizes the exponential complete Bell polynomials, is introduced. The usefulness of time-space harmonic polynomials with respect to Lévy processes is that it is a martingale the stochastic process obtained by replacing the indeterminate x of the polynomials with a Lévy process, whereas the Lévy process does not necessarily have this property. Therefore to find such polynomials could be particularly meaningful for applications. This new family includes Hermite polynomials, time-space harmonic with respect to Brownian motion, Poisson-Charlier polynomials with respect to Poisson processes, Laguerre and actuarial polynomials with respect to Gamma processes , Meixner polynomials of the first kind with respect to Pascal processes, Euler, Bernoulli, Krawtchuk, and pseudo-Narumi polynomials with respect to suitable random walks. The role played by cumulants is stressed and brought to the light, either in the symbolic representation of Lévy processes and their infinite divisibility property, either in the generalization, via umbral Kailath-Segall formula, of the well-known formulae giving elementary symmetric polynomials in terms of power sum symmetric polynomials. The expression of the family of time-space harmonic polynomials here introduced has some connections with the so-called moment representation of various families of multivariate polynomials. Such moment representation has been studied here for the first time in connection with the time-space harmonic property with respect to suitable symbolic multivariate Lévy processes. In particular, multivariate Hermite polynomials and their properties have been studied in connection with a symbolic version of the multivariate Brownian motion, while multivariate Bernoulli and Euler polynomials are represented as powers of multivariate polynomials which are time-space harmonic with respect to suitable multivariate Lévy processes.

Mutually catalytic branching at infinite rate

The purpose of this doctoral thesis is to prove existence for a mutually catalytic random walk with infinite branching rate on countably many sites. The process is defined as a weak limit of an approximating family of processes. An approximating process is constructed by adding jumps to a deterministic migration on an equidistant time grid. As law of jumps we need to choose the invariant probability measure of the mutually catalytic random walk with a finite branching rate in the recurrent regime. This model was introduced by Dawson and Perkins (1998) and this thesis relies heavily on their work. Due to the properties of this invariant distribution, which is in fact the exit distribution of planar Brownian motion from the first quadrant, it is possible to establish a martingale problem for the weak limit of any convergent sequence of approximating processes. We can prove a duality relation for the solution to the mentioned martingale problem, which goes back to Mytnik (1996) in the case of finite rate branching, and this duality gives rise to weak uniqueness for the solution to the martingale problem. Using standard arguments we can show that this solution is in fact a Feller process and it has the strong Markov property. For the case of only one site we prove that the model we have constructed is the limit of finite rate mutually catalytic branching processes as the branching rate approaches infinity. Therefore, it seems naturalto refer to the above model as an infinite rate branching process. However, a result for convergence on infinitely many sites remains open.

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.

Statistical problems related to excitation threshold and reset value of membrane potentials

Die vorliegende Arbeit ist motiviert durch biologische Fragestellungen bezüglich des Verhaltens von Membranpotentialen in Neuronen. Ein vielfach betrachtetes Modell für spikende Neuronen ist das Folgende. Zwischen den Spikes verhält sich das Membranpotential wie ein Diffusionsprozess X der durch die SDGL dX_t= beta(X_t) dt+ sigma(X_t) dB_t gegeben ist, wobei (B_t) eine Standard-Brown'sche Bewegung bezeichnet. Spikes erklärt man wie folgt. Sobald das Potential X eine gewisse Exzitationsschwelle S überschreitet entsteht ein Spike. Danach wird das Potential wieder auf einen bestimmten Wert x_0 zurückgesetzt. In Anwendungen ist es manchmal möglich, einen Diffusionsprozess X zwischen den Spikes zu beobachten und die Koeffizienten der SDGL beta() und sigma() zu schätzen. Dennoch ist es nötig, die Schwellen x_0 und S zu bestimmen um das Modell festzulegen. Eine Möglichkeit, dieses Problem anzugehen, ist x_0 und S als Parameter eines statistischen Modells aufzufassen und diese zu schätzen. In der vorliegenden Arbeit werden vier verschiedene Fälle diskutiert, in denen wir jeweils annehmen, dass das Membranpotential X zwischen den Spikes eine Brown'sche Bewegung mit Drift, eine geometrische Brown'sche Bewegung, ein Ornstein-Uhlenbeck Prozess oder ein Cox-Ingersoll-Ross Prozess ist. Darüber hinaus beobachten wir die Zeiten zwischen aufeinander folgenden Spikes, die wir als iid Treffzeiten der Schwelle S von X gestartet in x_0 auffassen. Die ersten beiden Fälle ähneln sich sehr und man kann jeweils den Maximum-Likelihood-Schätzer explizit angeben. Darüber hinaus wird, unter Verwendung der LAN-Theorie, die Optimalität dieser Schätzer gezeigt. In den Fällen OU- und CIR-Prozess wählen wir eine Minimum-Distanz-Methode, die auf dem Vergleich von empirischer und wahrer Laplace-Transformation bezüglich einer Hilbertraumnorm beruht. Wir werden beweisen, dass alle Schätzer stark konsistent und asymptotisch normalverteilt sind. Im letzten Kapitel werden wir die Effizienz der Minimum-Distanz-Schätzer anhand simulierter Daten überprüfen. Ferner, werden Anwendungen auf reale Datensätze und deren Resultate ausführlich diskutiert.

Ausbreitung einer Infektion durch ein System Brownscher Bewegungen

In dieser Arbeit werden wir ein Modell untersuchen, welches die Ausbreitung einer Infektion beschreibt. Bei diesem Modell werden zunächst Partikel gemäß eines Poissonschen Punktprozesses auf der reellen Achse verteilt. Bis zu einem gewissen Punkt auf der reellen Achse sind alle Partikel von einer Infektion befallen. Während sich nicht infizierte Partikel nicht bewegen, folgen die infizierten Partikel den Pfaden von voneinander unabhängigen Brownschen Bewegungen und verbreitet die Infektion dabei an den Orten, welche sie betreten. Wenn sie dabei auf ein nicht infiziertes Partikel treffen, ist dieses von diesem Moment an auch infiziert und beginnt ebenfalls, dem Pfad einer Brownschen Bewegung zu folgen und die Infektion auszubreiten. Auf diese Art verschiebt sich nun der am weitesten rechts liegende Ort R_t, an dem die Infektion bereits verbreitet wurde. Wir werden mit Hilfe des subadditiven Ergodensatzes zeigen, dass sich dieser Ort mit linearer Geschwindigkeit fortbewegt. Ferner werden wir eine obere und eine untere Schranke für die Ausbreitungsgeschwindkeit angeben. Danach werden wir zeigen, dass der Prozess Regenerationszeiten hat, nämlich solche zufällige Zeiten, zu denen er eine Art Neustart unter speziellen Startbedingungen durchführt. Wir werden diese für eine weitere Charakterisierung der Ausbreitungsgeschwingkeit nutzen. Ferner erhalten wir durch die Regenerationszeiten auch einen Zentralen Grenzwertsatz für R_t und können zeigen, dass die Verteilung der infizierten Partikel aus Sicht des am weitesten rechts liegenden infizierten Ortes gegen eine invariante Verteilung konvergiert.

The Feynman-Kac formula and applications to PDEs

The thesis presents a probabilistic approach to the theory of semigroups of operators, with particular attention to the Markov and Feller semigroups. The first goal of this work is the proof of the fundamental Feynman-Kac formula, which gives the solution of certain parabolic Cauchy problems, in terms of the expected value of the initial condition computed at the associated stochastic diffusion processes. The second target is the characterization of the principal eigenvalue of the generator of a semigroup with Markov transition probability function and of second order elliptic operators with real coefficients not necessarily self-adjoint. The thesis is divided into three chapters. In the first chapter we study the Brownian motion and some of its main properties, the stochastic processes, the stochastic integral and the Itô formula in order to finally arrive, in the last section, at the proof of the Feynman-Kac formula. The second chapter is devoted to the probabilistic approach to the semigroups theory and it is here that we introduce Markov and Feller semigroups. Special emphasis is given to the Feller semigroup associated with the Brownian motion. The third and last chapter is divided into two sections. In the first one we present the abstract characterization of the principal eigenvalue of the infinitesimal generator of a semigroup of operators acting on continuous functions over a compact metric space. In the second section this approach is used to study the principal eigenvalue of elliptic partial differential operators with real coefficients. At the end, in the appendix, we gather some of the technical results used in the thesis in more details. Appendix A is devoted to the Sion minimax theorem, while in appendix B we prove the Chernoff product formula for not necessarily self-adjoint operators.

Non-invasive method to predict viscosity and size using total internal reflection fluorescence microscopy (TIRFM) system

This study develops an automated analysis tool by combining total internal reflection fluorescence microscopy (TIRFM), an evanescent wave microscopic imaging technique to capture time-sequential images and the corresponding image processing Matlab code to identify movements of single individual particles. The developed code will enable us to examine two dimensional hindered tangential Brownian motion of nanoparticles with a sub-pixel resolution (nanoscale). The measured mean square displacements of nanoparticles are compared with theoretical predictions to estimate particle diameters and fluid viscosity using a nonlinear regression technique. These estimated values will be confirmed by the diameters and viscosities given by manufacturers to validate this analysis tool. Nano-particles used in these experiments are yellow-green polystyrene fluorescent nanospheres (200 nm, 500 nm and 1000 nm in diameter (nominal); 505 nm excitation and 515 nm emission wavelengths). Solutions used in this experiment are de-ionized (DI) water, 10% d-glucose and 10% glycerol. Mean square displacements obtained near the surface shows significant deviation from theoretical predictions which are attributed to DLVO forces in the region but it conforms to theoretical predictions after ~125 nm onwards. The proposed automation analysis tool will be powerfully employed in the bio-application fields needed for examination of single protein (DNA and/or vesicle) tracking, drug delivery, and cyto-toxicity unlike the traditional measurement techniques that require fixing the cells. Furthermore, this tool can be also usefully applied for the microfluidic areas of non-invasive thermometry, particle tracking velocimetry (PTV), and non-invasive viscometry.

Multiscale methods for shape constraints in deconvolution: Confidence statements for qualitative features

We derive multiscale statistics for deconvolution in order to detect qualitative features of the unknown density. An important example covered within this framework is to test for local monotonicity on all scales simultaneously. We investigate the moderately ill-posed setting, where the Fourier transform of the error density in the deconvolution model is of polynomial decay. For multiscale testing, we consider a calibration, motivated by the modulus of continuity of Brownian motion. We investigate the performance of our results from both the theoretical and simulation based point of view. A major consequence of our work is that the detection of qualitative features of a density in a deconvolution problem is a doable task, although the minimax rates for pointwise estimation are very slow.

Optimal Confidence Bands for Shape-Restricted Curves

Let Y be a stochastic process on [0,1] satisfying dY(t)=n 1/2 f(t)dt+dW(t) , where n≥1 is a given scale parameter (`sample size'), W is standard Brownian motion and f is an unknown function. Utilizing suitable multiscale tests, we construct confidence bands for f with guaranteed given coverage probability, assuming that f is isotonic or convex. These confidence bands are computationally feasible and shown to be asymptotically sharp optimal in an appropriate sense.