Markov cubature rules for polynomial processes

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rules. The polynomial property allows us to study such rules using algebraic techniques. Markov cubature rules aid the tractability of path-dependent tasks such as American option pricing in models where the underlying factors are polynomial processes.Comment: 29 pages, 6 Figures, 2 Tables; forthcoming in Stochastic Processes and their Application

Matrix permanent and quantum entanglement of permutation invariant states

We point out that a geometric measure of quantum entanglement is related to the matrix permanent when restricted to permutation invariant states. This connection allows us to interpret the permanent as an angle between vectors. By employing a recently introduced permanent inequality by Carlen, Loss and Lieb, we can prove explicit formulas of the geometric measure for permutation invariant basis states in a simple way.Comment: 10 page

Equilibrium equation of state of a hard sphere binary mixture at very large densities using replica exchange Monte-Carlo simulations

We use replica exchange Monte-Carlo simulations to measure the equilibrium equation of state of the disordered fluid state for a binary hard sphere mixture up to very large densities where standard Monte-Carlo simulations do not easily reach thermal equilibrium. For the moderate system sizes we use (up to N=100), we find no sign of a pressure discontinuity near the location of dynamic glass singularities extrapolated using either algebraic or simple exponential divergences, suggesting they do not correspond to genuine thermodynamic glass transitions. Several scenarios are proposed for the fate of the fluid state in the thermodynamic limit.Comment: 10 pages, 8 fig

Efficient white noise sampling and coupling for multilevel Monte Carlo with non-nested meshes

When solving stochastic partial differential equations (SPDEs) driven by additive spatial white noise, the efficient sampling of white noise realizations can be challenging. Here, we present a new sampling technique that can be used to efficiently compute white noise samples in a finite element method and multilevel Monte Carlo (MLMC) setting. The key idea is to exploit the finite element matrix assembly procedure and factorize each local mass matrix independently, hence avoiding the factorization of a large matrix. Moreover, in a MLMC framework, the white noise samples must be coupled between subsequent levels. We show how our technique can be used to enforce this coupling even in the case of non-nested mesh hierarchies. We demonstrate the efficacy of our method with numerical experiments. We observe optimal convergence rates for the finite element solution of the elliptic SPDEs of interest in 2D and 3D and we show convergence of the sampled field covariances. In a MLMC setting, a good coupling is enforced and the telescoping sum is respected.Comment: 28 pages, 10 figure

Quantum phase transitions in effective spin-ladder models for graphene zigzag nanoribbons

We examine the magnetic correlations in quantum spin models that were derived recently as effective low-energy theories for electronic correlation effects on the edge states of graphene nanoribbons. For this purpose, we employ quantum Monte Carlo simulations to access the large-distance properties, accounting for quantum fluctuations beyond mean-field-theory approaches to edge magnetism. For certain chiral nanoribbons, antiferromagnetic inter-edge couplings were previously found to induce a gapped quantum disordered ground state of the effective spin model. We find that the extended nature of the intra-edge couplings in the effective spin model for zigzag nanoribbons leads to a quantum phase transition at a large, finite value of the inter-edge coupling. This quantum critical point separates the quantum disordered region from a gapless phase of stable edge magnetism at weak intra-edge coupling, which includes the ground states of spin-ladder models for wide zigzag nanoribbons. To study the quantum critical behavior, the effective spin model can be related to a model of two antiferromagnetically coupled Haldane-Shastry spin-half chains with long-ranged ferromagnetic intra-chain couplings. The results for the critical exponents are compared also to several recent renormalization group calculations for related long-ranged interacting quantum systems.Comment: 12 pages, 15 figure

Hysteresis in Adiabatic Dynamical Systems: an Introduction

We give a nontechnical description of the behaviour of dynamical systems governed by two distinct time scales. We discuss in particular memory effects, such as bifurcation delay and hysteresis, and comment the scaling behaviour of hysteresis cycles. These properties are illustrated on a few simple examples.Comment: 28 pages, 10 ps figures, AMS-LaTeX. This is the introduction of my Ph.D. dissertation, available at http://dpwww.epfl.ch/instituts/ipt/berglund/these.htm

Spacetime Approach to Phase Transitions

In these notes, the application of Feynman's sum-over-paths approach to thermal phase transitions is discussed. The paradigm of such a spacetime approach to critical phenomena is provided by the high-temperature expansion of spin models. This expansion, known as the hopping expansion in the context of lattice field theory, yields a geometric description of the phase transition in these models, with the thermal critical exponents being determined by the fractal structure of the high-temperature graphs. The graphs percolate at the thermal critical point and can be studied using purely geometrical observables known from percolation theory. Besides the phase transition in spin models and in the closely related $\phi^4$ theory, other transitions discussed from this perspective include Bose-Einstein condensation, and the transitions in the Higgs model and the pure U(1) gauge theory.Comment: 59 pages, 18 figures. Write-up of Ising Lectures presented at the National Academy of Sciences, Lviv, Ukraine, 2004. 2nd version: corrected typo