Full Counting Statistics in the Resonant-Level Model

We derive the large deviation function, which provides the large-time full counting statistics for the charge transfer, in the non-equilibrium steady state of the resonant-level model. The general form of this function in free fermion models, in terms of transmission coefficients, was proposed by Levitov and Lesovik in 1993 using a particular measurement set-up involving an interacting spin. It was later suggested to hold as well for a proper quantum mechanical measurement of the transferred charge. We give a precise proof of both statements in the resonant-level model. We first give a full description of the model and its steady state. That is, we explain how the decoupled system prepared with a charge differential evolves, with the impurity coupling, towards the Hershfield non-equilibrium density matrix, in the sense of averages of finitely-supported operators. We describe how this holds both for the usual resonant-level model with a point-like impurity, and for a regularised model with an impurity spread on a finite region, shedding light on subtleties associated to the point-like impurity. We then prove Levitov-Lesovik formula by recasting the problem into calculating averages of finitely-supported operators.Comment: 31 pages, 1 figur

Conformal field theory out of equilibrium: a review

We provide a pedagogical review of the main ideas and results in non-equilibrium conformal field theory and connected subjects. These concern the understanding of quantum transport and its statistics at and near critical points. Starting with phenomenological considerations, we explain the general framework, illustrated by the example of the Heisenberg quantum chain. We then introduce the main concepts underlying conformal field theory (CFT), the emergence of critical ballistic transport, and the CFT scattering construction of non-equilibrium steady states. Using this we review the theory for energy transport in homogeneous one-dimensional critical systems, including the complete description of its large deviations and the resulting (extended) fluctuation relations. We generalize some of these ideas to one-dimensional critical charge transport and to the presence of defects, as well as beyond one-dimensional criticality. We describe non-equilibrium transport in free-particle models, where connections are made with generalized Gibbs ensembles, and in higher-dimensional and non-integrable quantum field theories, where the use of the powerful hydrodynamic ideas for non-equilibrium steady states is explained. We finish with a list of open questions. The review does not assume any advanced prior knowledge of conformal field theory, large-deviation theory or hydrodynamics.Comment: 50 pages + 10 pages of references, 5 figures. v2: minor modifications. Review article for special issue of JSTAT on nonequilibrium dynamics in integrable quantum system

A hydrodynamic approach to non-equilibrium conformal field theories

We develop a hydrodynamic approach to non-equilibrium conformal field theory. We study non-equilibrium steady states in the context of one-dimensional conformal field theory perturbed by the $T\bar T$ irrelevant operator. By direct quantum computation, we show, to first order in the coupling, that a relativistic hydrodynamic emerges, which is a simple modification of one-dimensional conformal fluids. We show that it describes the steady state and its approach, and we provide the main characteristics of the steady state, which lies between two shock waves. The velocities of these shocks are modified by the perturbation and equal the sound velocities of the asymptotic baths. Pushing further this approach, we are led to conjecture that the approach to the steady state is generically controlled by the power law $t^{-1/2}$, and that the widths of the shocks increase with time according to $t^{1/3}$.Comment: 24 page

Energy flow and fluctuations in non-equilibrium conformal field theory on star graphs

We consider non-equilibrium quantum steady states in conformal field theory (CFT) on star-graph configurations, with a particular, simple connection condition at the vertex of the graph. These steady states occur after a large time as a result of initially thermalizing the legs of the graph at different temperatures, and carry energy flows. Using purely Virasoro algebraic calculations we evaluate the exact long-time cumulant generating function for these flows. We show that this function satisfies a generalization of the usual non-equilibrium fluctuation relations. This extends the results by two of the authors (J. Phys. A 45: 362001, 2012; arXiv:1302.3125) to the cases of more than two legs. It also provides an alternative derivation centered on Virasoro algebra operators rather than local fields, hence an alternative regularization scheme, thus confirming the validity and universality of the long-time cumulant generating function. Our derivation shows how the usual Virasoro algebra leads, in large volumes, to a continuous-index Virasoro algebra for which we develop diagramatic principles, which may be of interest in other non-equilibrium contexts as well. Finally, our results shed light on the Poisson process interpretation of the long-time energy transfer in CFT.Comment: 26 pages, 2 figure

Optimal periodic dividend strategies for spectrally positive L\'evy risk processes with fixed transaction costs

We consider the general class of spectrally positive L\'evy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes are stochastic. Motivated by the fact that dividends cannot be paid at any time in real life, we study $\textit{periodic}$ dividend strategies whereby dividend decisions are made according to a separate arrival process. In this paper, we investigate the impact of fixed transaction costs on the optimal periodic dividend strategy, and show that a periodic $(b_u,b_l)$ strategy is optimal when decision times arrive according to an independent Poisson process. Such a strategy leads to lump sum dividends that bring the surplus back to $b_l$ as long as it is no less than $b_u$ at a dividend decision time. The expected present value of dividends (net of transaction costs) is provided explicitly with the help of scale functions. Results are illustrated.Comment: Accepted for publication in Insurance: Mathematics and Economic

Convenient Multiple Directions of Stratification

This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian vectors. The precision of the method depends on the choice of the directions of stratification and the allocation rule within each strata. Several choices have been proposed but, even if they provide variance reduction, their implementation is computationally intensive and not applicable to realistic payoffs, in particular not to Asian options with barrier. Moreover, all these previously published methods employ orthogonal directions for multiple stratification. In this work we investigate the use of algorithms producing convenient directions, generally non-orthogonal, combining a lower computational cost with a comparable variance reduction. In addition, we study the accuracy of optimal allocation in terms of variance reduction compared to the Latin Hypercube Sampling. We consider the directions obtained by the Linear Transformation and the Principal Component Analysis. We introduce a new procedure based on the Linear Approximation of the explained variance of the payoff using the law of total variance. In addition, we exhibit a novel algorithm that permits to correctly generate normal vectors stratified along non-orthogonal directions. Finally, we illustrate the efficiency of these algorithms in the computation of the price of different path-dependent options with and without barriers in the Black-Scholes and in the Cox-Ingersoll-Ross markets.Comment: 21 pages, 11 table

Nitrogen isotopic fractionation during abiotic synthesis of organic solid particles

The formation of organic compounds is generally assumed to result from abiotic processes in the Solar System, with the exception of biogenic organics on Earth. Nitrogen-bearing organics are of particular interest, notably for prebiotic perspectives but also for overall comprehension of organic formation in the young solar system and in planetary atmospheres. We have investigated abiotic synthesis of organics upon plasma discharge, with special attention to N isotope fractionation. Organic aerosols were synthesized from N2-CH4 and N2-CO gaseous mixtures using low-pressure plasma discharge experiments, aimed at simulating chemistry occurring in Titan s atmosphere and in the protosolar nebula, respectively. Nitrogen is efficiently incorporated into the synthesized solids, independently of the oxidation degree, of the N2 content of the starting gas mixture, and of the nitrogen speciation in the aerosols. The aerosols are depleted in 15N by 15-25 permil relative to the initial N2 gas, whatever the experimental setup is. Such an isotopic fractionation is attributed to mass-dependent kinetic effect(s). Nitrogen isotope fractionation upon electric discharge cannot account for the large N isotope variations observed among solar system objects and reservoirs. Extreme N isotope signatures in the solar system are more likely the result of self-shielding during N2 photodissociation, exotic effect during photodissociation of N2 and/or low temperature ion-molecule isotope exchange. Kinetic N isotope fractionation may play a significant role in the Titan s atmosphere. We also suggest that the low delta15N values of Archaean organic matter are partly the result of abiotic synthesis of organics that occurred at that time