10,369 research outputs found
Persistence and First-Passage Properties in Non-equilibrium Systems
In this review we discuss the persistence and the related first-passage
properties in extended many-body nonequilibrium systems. Starting with simple
systems with one or few degrees of freedom, such as random walk and random
acceleration problems, we progressively discuss the persistence properties in
systems with many degrees of freedom. These systems include spins models
undergoing phase ordering dynamics, diffusion equation, fluctuating interfaces
etc. Persistence properties are nontrivial in these systems as the effective
underlying stochastic process is non-Markovian. Several exact and approximate
methods have been developed to compute the persistence of such non-Markov
processes over the last two decades, as reviewed in this article. We also
discuss various generalisations of the local site persistence probability.
Persistence in systems with quenched disorder is discussed briefly. Although
the main emphasis of this review is on the theoretical developments on
persistence, we briefly touch upon various experimental systems as well.Comment: Review article submitted to Advances in Physics: 149 pages, 21
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Sequential Estimation of Dynamic Discrete Games
This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria, and the computational burden in the solution of the game. We propose a class of pseudo maximum likelihood (PML) estimators that deals with these problems and we study the asymptotic and finite sample properties of several estimators in this class. We first focus on two-step PML estimators which, though attractive for their computational simplicity, have some important limitations: they are seriously biased in small samples; they require consistent nonparametric estimators of players' choice probabilities in the first step, which are not always feasible for some models and data; and they are asymptotically inefficient. Second, we show that a recursive extension of the two-step PML, which we call nested pseudo likelihood (NPL), addresses those drawbacks at a relatively small additional computational cost. The NPL estimator is particularly useful in applications where consistent nonparametric estimates of choice probabilities are either not available or very imprecise, e.g., models with permanent unobserved heterogeneity. Finally, we illustrate these methods in Montecarlo experiments and in an empirical application to a model of firm entry and exit in oligopoly markets using Chilean data from several retail industries.Dynamic discrete games, Multiple equilibria, Pseudo maximum likelihood estimation, Entry and exit in oligopoly markets.
Mass concentration in a nonlocal model of clonal selection
Self-renewal is a constitutive property of stem cells. Testing the cancer
stem cell hypothesis requires investigation of the impact of self-renewal on
cancer expansion. To understand better this impact, we propose a mathematical
model describing dynamics of a continuum of cell clones structured by the
self-renewal potential. The model is an extension of the finite
multi-compartment models of interactions between normal and cancer cells in
acute leukemias. It takes a form of a system of integro-differential equations
with a nonlinear and nonlocal coupling, which describes regulatory feedback
loops in cell proliferation and differentiation process. We show that such
coupling leads to mass concentration in points corresponding to maximum of the
self-renewal potential and the model solutions tend asymptotically to a linear
combination of Dirac measures. Furthermore, using a Lyapunov function
constructed for a finite dimensional counterpart of the model, we prove that
the total mass of the solution converges to a globally stable equilibrium.
Additionally, we show stability of the model in space of positive Radon
measures equipped with flat metric. The analytical results are illustrated by
numerical simulations
Activation process driven by strongly non-Gaussian noises
The constructive role of non-Gaussian random fluctuations is studied in the
context of the passage over the dichotomously switching potential barrier. Our
attention focuses on the interplay of the effects of independent sources of
fluctuations: an additive stable noise representing non-equilibrium external
random force acting on the system and a fluctuating barrier. In particular, the
influence of the structure of stable noises on the mean escape time and on the
phenomenon of resonant activation (RA) is investigated. By use of the numerical
Monte Carlo method it is documented that the suitable choice of the barrier
switching rate and random external fields may produce resonant phenomenon
leading to the enhancement of the kinetics and the shortest, most efficient
reaction time.Comment: 11 pages, 8 figure
Stretched Exponential Relaxation in the Biased Random Voter Model
We study the relaxation properties of the voter model with i.i.d. random
bias. We prove under mild condions that the disorder-averaged relaxation of
this biased random voter model is faster than a stretched exponential with
exponent , where depends on the transition rates
of the non-biased voter model. Under an additional assumption, we show that the
above upper bound is optimal. The main ingredient of our proof is a result of
Donsker and Varadhan (1979).Comment: 14 pages, AMS-LaTe
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