Spectral Simplicity of Apparent Complexity, Part I: The Nondiagonalizable Metadynamics of Prediction

Virtually all questions that one can ask about the behavioral and structural complexity of a stochastic process reduce to a linear algebraic framing of a time evolution governed by an appropriate hidden-Markov process generator. Each type of question---correlation, predictability, predictive cost, observer synchronization, and the like---induces a distinct generator class. Answers are then functions of the class-appropriate transition dynamic. Unfortunately, these dynamics are generically nonnormal, nondiagonalizable, singular, and so on. Tractably analyzing these dynamics relies on adapting the recently introduced meromorphic functional calculus, which specifies the spectral decomposition of functions of nondiagonalizable linear operators, even when the function poles and zeros coincide with the operator's spectrum. Along the way, we establish special properties of the projection operators that demonstrate how they capture the organization of subprocesses within a complex system. Circumventing the spurious infinities of alternative calculi, this leads in the sequel, Part II, to the first closed-form expressions for complexity measures, couched either in terms of the Drazin inverse (negative-one power of a singular operator) or the eigenvalues and projection operators of the appropriate transition dynamic.Comment: 24 pages, 3 figures, 4 tables; current version always at http://csc.ucdavis.edu/~cmg/compmech/pubs/sdscpt1.ht

Large Deviations for Small Noise Diffusions in a Fast Markovian Environment

A large deviation principle is established for a two-scale stochastic system in which the slow component is a continuous process given by a small noise finite dimensional It\^{o} stochastic differential equation, and the fast component is a finite state pure jump process. Previous works have considered settings where the coupling between the components is weak in a certain sense. In the current work we study a fully coupled system in which the drift and diffusion coefficient of the slow component and the jump intensity function and jump distribution of the fast process depend on the states of both components. In addition, the diffusion can be degenerate. Our proofs use certain stochastic control representations for expectations of exponential functionals of finite dimensional Brownian motions and Poisson random measures together with weak convergence arguments. A key challenge is in the proof of the large deviation lower bound where, due to the interplay between the degeneracy of the diffusion and the full dependence of the coefficients on the two components, the associated local rate function has poor regularity properties.Comment: 42 page

Noise-induced behaviors in neural mean field dynamics

The collective behavior of cortical neurons is strongly affected by the presence of noise at the level of individual cells. In order to study these phenomena in large-scale assemblies of neurons, we consider networks of firing-rate neurons with linear intrinsic dynamics and nonlinear coupling, belonging to a few types of cell populations and receiving noisy currents. Asymptotic equations as the number of neurons tends to infinity (mean field equations) are rigorously derived based on a probabilistic approach. These equations are implicit on the probability distribution of the solutions which generally makes their direct analysis difficult. However, in our case, the solutions are Gaussian, and their moments satisfy a closed system of nonlinear ordinary differential equations (ODEs), which are much easier to study than the original stochastic network equations, and the statistics of the empirical process uniformly converge towards the solutions of these ODEs. Based on this description, we analytically and numerically study the influence of noise on the collective behaviors, and compare these asymptotic regimes to simulations of the network. We observe that the mean field equations provide an accurate description of the solutions of the network equations for network sizes as small as a few hundreds of neurons. In particular, we observe that the level of noise in the system qualitatively modifies its collective behavior, producing for instance synchronized oscillations of the whole network, desynchronization of oscillating regimes, and stabilization or destabilization of stationary solutions. These results shed a new light on the role of noise in shaping collective dynamics of neurons, and gives us clues for understanding similar phenomena observed in biological networks

The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

Physics of brain dynamics: Fokker-Planck analysis reveals changes in EEG delta-theta interactions in anaesthesia

We use drift and diffusion coefficients to reveal interactions between different oscillatory processes underlying a complex signal and apply the method to EEG delta and theta frequencies in the brain. By analysis of data recorded from rats during anaesthesia, we consider the stability and basins of attraction of fixed points in the phase portrait of the deterministic part of the retrieved stochastic process. We show that different classes of dynamics are associated with deep and light anaesthesia, and we demonstrate that the predominant directionality of the interaction is such that theta drives delt