A quantum evaporation effect

A small momentum transfer to a particle interacting with a steep potential barrier gives rise to a quantum evaporation effect which increases the transmission appreciably. This effect results from the unexpectedly large population of quantum states with energies above the height of the barrier. Its characteristic properties are studied and an example of physical system in which it may be observed is given.Comment: 7 pages + 3 figure

A Random Walk to a Non-Ergodic Equilibrium Concept

Random walk models, such as the trap model, continuous time random walks, and comb models exhibit weak ergodicity breaking, when the average waiting time is infinite. The open question is: what statistical mechanical theory replaces the canonical Boltzmann-Gibbs theory for such systems? In this manuscript a non-ergodic equilibrium concept is investigated, for a continuous time random walk model in a potential field. In particular we show that in the non-ergodic phase the distribution of the occupation time of the particle on a given lattice point, approaches U or W shaped distributions related to the arcsin law. We show that when conditions of detailed balance are applied, these distributions depend on the partition function of the problem, thus establishing a relation between the non-ergodic dynamics and canonical statistical mechanics. In the ergodic phase the distribution function of the occupation times approaches a delta function centered on the value predicted based on standard Boltzmann-Gibbs statistics. Relation of our work with single molecule experiments is briefly discussed.Comment: 14 pages, 6 figure

Power-law tail distributions and nonergodicity

We establish an explicit correspondence between ergodicity breaking in a system described by power-law tail distributions and the divergence of the moments of these distributions.Comment: 4 pages, 1 figure, corrected typo

Phase transitions driven by L\'evy stable noise: exact solutions and stability analysis of nonlinear fractional Fokker-Planck equations

Phase transitions and effects of external noise on many body systems are one of the main topics in physics. In mean field coupled nonlinear dynamical stochastic systems driven by Brownian noise, various types of phase transitions including nonequilibrium ones may appear. A Brownian motion is a special case of L\'evy motion and the stochastic process based on the latter is an alternative choice for studying cooperative phenomena in various fields. Recently, fractional Fokker-Planck equations associated with L\'evy noise have attracted much attention and behaviors of systems with double-well potential subjected to L\'evy noise have been studied intensively. However, most of such studies have resorted to numerical computation. We construct an {\it analytically solvable model} to study the occurrence of phase transitions driven by L\'evy stable noise.Comment: submitted to EP

Optimal quantization for the pricing of swing options

In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.Comment: 27

Levy distribution in many-particle quantum systems

Levy distribution, previously used to describe complex behavior of classical systems, is shown to characterize that of quantum many-body systems. Using two complimentary approaches, the canonical and grand-canonical formalisms, we discovered that the momentum profile of a Tonks-Girardeau gas, -- a one-dimensional gas of $N$ impenetrable (hard-core) bosons, harmonically confined on a lattice at finite temperatures, obeys Levy distribution. Finally, we extend our analysis to different confinement setups and demonstrate that the tunable Levy distribution properly reproduces momentum profiles in experimentally accessible regions. Our finding allows for calibration of complex many-body quantum states by using a unique scaling exponent.Comment: 7 pages, 6 figures, results are generalized, new examples are adde

Stationary states for underdamped anharmonic oscillators driven by Cauchy noise

Using methods of stochastic dynamics, we have studied stationary states in the underdamped anharmonic stochastic oscillators driven by Cauchy noise. Shape of stationary states depend both on the potential type and the damping. If the damping is strong enough, for potential wells which in the overdamped regime produce multimodal stationary states, stationary states in the underdamped regime can be multimodal with the same number of modes like in the overdamped regime. For the parabolic potential, the stationary density is always unimodal and it is given by the two dimensional $\alpha$-stable density. For the mixture of quartic and parabolic single-well potentials the stationary density can be bimodal. Nevertheless, the parabolic addition, which is strong enough, can destroy bimodlity of the stationary state.Comment: 9 page

Steady-State L\'evy Flights in a Confined Domain

We derive the generalized Fokker-Planck equation associated with a Langevin equation driven by arbitrary additive white noise. We apply our result to study the distribution of symmetric and asymmetric L\'{e}vy flights in an infinitely deep potential well. The fractional Fokker-Planck equation for L\'{e}vy flights is derived and solved analytically in the steady state. It is shown that L\'{e}vy flights are distributed according to the beta distribution, whose probability density becomes singular at the boundaries of the well. The origin of the preferred concentration of flying objects near the boundaries in nonequilibrium systems is clarified.Comment: 10 pages, 1 figur

Anomalous Drude Model

A generalization of the Drude model is studied. On the one hand, the free motion of the particles is allowed to be sub- or superdiffusive; on the other hand, the distribution of the time delay between collisions is allowed to have a long tail and even a non-vanishing first moment. The collision averaged motion is either regular diffusive or L\'evy-flight like. The anomalous diffusion coefficients show complex scaling laws. The conductivity can be calculated in the diffusive regime. The model is of interest for the phenomenological study of electronic transport in quasicrystals.Comment: 4 pages, latex, 2 figures, to be published in Physical Review Letter