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.

A generalisation of the fractional Brownian field based on non-Euclidean norms

We explore a generalisation of the L´evy fractional Brownian field on the Euclidean space based on replacing the Euclidean norm with another norm. A characterisation result for admissible norms yields a complete description of all self-similar Gaussian random fields with stationary increments. Several integral representations of the introduced random fields are derived. In a similar vein, several non-Euclidean variants of the fractional Poisson field are introduced and it is shown that they share the covariance structure with the fractional Brownian field and converge to it. The shape parameters of the Poisson and Brownian variants are related by convex geometry transforms, namely the radial pth mean body and the polar projection transforms.

Functional Transfer Theorems for Maxima of Stationary Processes

2000 Mathematics Subject Classification: 60G70, 60F12, 60G10.

An Eulerian Immersed Boundary Method for flow simulations over stationary and moving rigid bodies

The fluid flow over bodies with complex geometry has been the subject of research of many scientists and widely explored experimentally and numerically. The present study proposes an Eulerian Immersed Boundary Method for flows simulations over stationary or moving rigid bodies. The proposed method allows the use of Cartesians Meshes. Here, two-dimensional simulations of fluid flow over stationary and oscillating circular cylinders were used for verification and validation. Four different cases were explored: the flow over a stationary cylinder, the flow over a cylinder oscillating in the flow direction, the flow over a cylinder oscillating in the normal flow direction, and a cylinder with angular oscillation. The time integration was carried out by a classical 4th order Runge-Kutta scheme, with a time step of the same order of distance between two consecutive points in x direction. High-order compact finite difference schemes were used to calculate spatial derivatives. The drag and lift coefficients, the lock-in phenomenon and vorticity contour plots were used for the verification and validation of the proposed method. The extension of the current method allowing the study of a body with different geometry and three-dimensional simulations is straightforward. The results obtained show a good agreement with both numerical and experimental results, encouraging the use of the proposed method.

Nonexistence of regular stationary solution in a metric nonsymmetric theory of gravitation

It is proven that the field equations of a previously studied metric nonsymmetric theory of gravitation do not admit any non-singular stationary solution which represents a field of non-vanishing total mass and non-vanishing total fermionic charge.

Quantification and source identification of atmospheric particulate polycyclic aromatic hydrocarbons and their dry deposition fluxes at three sites in Salvador Basin, Brazil, impacted by mobile and stationary sources

The present work has aimed to determine the 16 US EPA priority PAH atmospheric particulate matter levels present in three sites around Salvador, Bahia: (i) Lapa bus station, strongly impacted by heavy-duty diesel vehicles; (ii) Aratu harbor, impacted by an intense movement of goods, and (iii) Bananeira village on Maré Island, a non vehicle-influenced site with activities such as handcraft work and fisheries. Results indicated that BbF (0.130-6.85 ng m-3) is the PAH with highest concentration in samples from Aratu harbor and Bananeira and CRY (0.075-6.85 ng m-3) presented higher concentrations at Lapa station. PAH sources from studied sites were mainly of anthropogenic origin such as gasoline-fueled light-duty vehicles and diesel-fueled heavy-duty vehicles, discharges in the port, diesel burning from ships, dust ressuspension, indoor soot from cooking, and coal and wood combustion for energy production.

Shared information in stationary states of stochastic processes

We present four estimators of the shared information (or interdepency) in ground states given that the coefficients appearing in the wave function are all real non-negative numbers and therefore can be interpreted as probabilities of configurations. Such ground states of Hermitian and non-Hermitian Hamiltonians can be given, for example, by superpositions of valence bond states which can describe equilibrium but also stationary states of stochastic models. We consider in detail the last case, the system being a classical not a quantum one. Using analytical and numerical methods we compare the values of the estimators in the directed polymer and the raise and peel models which have massive, conformal invariant and nonconformal invariant massless phases. We show that like in the case of the quantum problem, the estimators verify the area law with logarithmic corrections when phase transitions take place.

Generic hyperbolicity of stationary solutions for a reaction-diffusion system

In this paper, we study the generic hyperbolicity of equilibria of a reaction-diffusion system with respect to nonlinear terms in the set of C(2)-functions equipped with the Whitney Topology. To accomplish this, we combine Baire`s Lemma and the usual Transversality Theorem. (C) 2010 Elsevier Ltd. All rights reserved.

Cracking of 2.25Cr-1.0Mo steel tube/stationary tube-sheet weldment of a heat-exchanger

The premature failure of a horizontal heat-exchanger, which occurred after service exposure at 580 degrees C for 50,000 h, revealed the occurrence of extensive through-thickness cracking in approximately 40% of the tube/stationary tube-sheet welds. Additionally, the internal surface of the welded joint featured intensive secondary intergranular cracking (up to 250 mu m deep), preferential formation of a 150 mu m thick layer of (Fe, Cr)(3)O-4 and internal intergranular oxidation (40 mu m deep). The welded region also showed intense carbon pick-up and, as consequence, severe precipitation of intergranular M7C3 and M23C6 carbides. The fracture surface was composed of two distinct regions: a ""planar"" region of 250 mu m, formed due to the stable crack growth along by the intergranular oxidation; and a slant region with radial marks, formed by the fast crack growth along the network of intergranular carbides. The association of intergranular oxidation pre-cracks with microstructural embrittlement promoted the premature failure, which took place by an overload mechanism, probably due to the jamming of the floating tube-sheet during the maintenance halt (cooling operation). (C) 2007 Elsevier Ltd. All rights reserved.

Development and validation of sensitive methods for determination of sibutramine hydrochloride monohydrate and direct enantiomeric separation on a protein-based chiral stationary phase

Sibutramine hydrochloride monohydrate, chemically 1-(4-chlorophenyl)-N,N-dimethyl-alpha-(2-methylpropyl) hydrochloride monohydrate (SB center dot HCl center dot H2O), was approved by the U.S. Food and Drug Administration for the treatment of obesity. The objective of this study was to develop, validate, and compare methods using UV-derivative spectrophotometry (UVDS) and reversed-phase high-performance liquid chromatography (HPLC) for the determination of SB center dot HCl center dot H2O in pharmaceutical drug products. The UVDS and HPLC methods were found to be rapid, precise, and accurate. Statistically, there was no significant difference between the proposed UVDS and HPLC methods. The enantiomeric separation of SB was obtained on an alpha-1 acid glycoprotein column. The R- and S-sibutramine were eluted in < 5 min with baseline separation of the chromatographic peaks (alpha = 1.9 and resolution = 1.9).

Enantiomeric resolution of (+/-)-licarin A by high-performance liquid-chromatography using a chiral stationary phase

(+/-)-Licarin A (1), a neolignan obtained by the oxidative coupling reaction of isoeugenol, had in this study its enantiomers resolved. A novel, quick and efficient enantiomeric resolution of 1 was directly performed by chiral high-performance liquid chromatography (HPLC-PDA) protocol (CHIRALPACK (R) AD column; 9:1 (v/v) n-hexane:2-propanol; 1.0 mL/min). This method provided a chromatogram profile with a well-resolved peak separation. After isolation of each enantiomer with ee >99.9%, they were analysed in a polarimeter. Compound 2, which showed a retention time (t(r)) of 12.13 min, was the (+)-enantiomer and compound 3 (t(r) =18.90 min) was the (-)-enantiomer. (C) 2011 Elsevier B.V. All rights reserved.

Stationary lineshape of a two-level atom in a narrow-bandwidth squeezed vacuum

The stationary lineshape of a two-level atom driven by low-intensity narrow-bandwidth squeezed light is shown to exhibit significant differences in behaviour compared to the lineshape for broadband squeezed light. We find that for narrow-bandwidth squeezed light the lineshape is composed of two Lorentzians whose amplitudes depend on the squeezing correlations. Moreover, one of the Lorentzians has a negative weight which leads to narrowing of the line. These features are absent in the broadband case, where the stationary lineshape is the same as for a thermal field. (C) 1998 Elsevier Science B.V.

Further results on the relationship between mu-invariant measures and quasi-stationary distributions for absorbing continuous-time Markov chains

This note considers continuous-time Markov chains whose state space consists of an irreducible class, C, and an absorbing state which is accessible from C. The purpose is to provide results on mu-invariant and mu-subinvariant measures where absorption occurs with probability less than one. In particular, the well-known premise that the mu-invariant measure, m, for the transition rates be finite is replaced by the more natural premise that m be finite with respect to the absorption probabilities. The relationship between mu-invariant measures and quasi-stationary distributions is discussed. (C) 2000 Elsevier Science Ltd. All rights reserved.