Functional co-monotony of processes with applications to peacocks and barrier options

We show that several general classes of stochastic processes satisfy a functional co-monotony principle, including processes with independent increments, Brownian diffusions, Liouville processes. As a first application, we recover some recent results about peacock processes obtained by Hirsch et al. which were themselves motivated by a former work of Carr et al. about the sensitivity of Asian Call options with respect to their volatility and residual maturity (seniority). We also derive semi-universal bounds for various barrier options.Comment: 27 page

X-Ray Reflectivity of Fibonacci Multilayers

We have numerically computed the reflectivity of X-ray incident normally onto Fibonacci multilayers, and compared the results with those obtained in periodic approximant multilayers. The constituent layers are of low and high refractive indices with the same thickness. Whereas reflectivity of periodic approximant multilayers changes only slightly with increasing the number of layers, Fibonacci multilayers present a completely different behaviour. In particular, we have found a highly-fragmented and self-similar reflectivity pattern in Fibonacci systems. The behaviour of the fragmentation pattern on increasing the number of layers is quantitatively described using multifractal techniques. The paper ends with a brief discussion on possible practical applications of our results in the design of new X-ray devices.Comment: 8 pages, REVTeX 3.0, 3 figures available upon request from [email protected]. To appear in Physics Letters

Is There a Causal Association between Genotoxicity and the Imposex Effect?

There is a growing body of evidence that indicates common environmental pollutants are capable of disrupting reproductive and developmental processes by interfering with the actions of endogenous hormones. Many reports of endocrine disruption describe changes in the normal development of organs and tissues that are consistent with genetic damage, and recent studies confirm that many chemicals classified to have hormone-modulating effects also possess carcinogenic and mutagenic potential. To date, however, there have been no conclusive examples linking genetic damage with perturbation of endocrine function and adverse effects in vivo. Here, we provide the first evidence of DNA damage associated with the development of imposex (the masculinization of female gastropods considered to be the result of alterations to endocrine-mediated pathways) in the dog-whelk Nucella lapillus. Animals (n = 257) that displayed various stages of tributyltin (TBT)-induced imposex were collected from sites in southwest England, and their imposex status was determined by physical examination. Linear regression analysis revealed a very strong relationship (correlation coefficient of 0.935, p < 0.0001) between the degree of imposex and the extent of DNA damage (micronucleus formation) in hemocytes. Moreover, histological examination of a larger number of dog-whelks collected from sites throughout Europe confirmed the presence of hyperplastic growths, primarily on the vas deferens and penis in both TBT-exposed male snails and in females that exhibited imposex. A strong association was found between TBT body burden and the prevalence of abnormal growths, thereby providing compelling evidence to support the hypothesis that environmental chemicals that affect reproductive processes do so partly through DNA damage pathways

Dynamical phenomena in Fibonacci Semiconductor Superlattices

We present a detailed study of the dynamics of electronic wavepackets in Fibonacci semiconductor superlattices, both in flat band conditions and subject to homogeneous electric fields perpendicular to the layers. Coherent propagation of electrons is described by means of a scalar Hamiltonian using the effective-mass approximation. We have found that an initial Gaussian wavepacket is filtered selectively when passing through the superlattice. This means that only those components of the wavepacket whose wavenumber belong to allowed subminibands of the fractal-like energy spectrum can propagate over the entire superlattice. The Fourier pattern of the transmitted part of the wavepacket presents clear evidences of fractality reproducing those of the underlying energy spectrum. This phenomenon persists even in the presence of unintentional disorder due to growth imperfections. Finally, we have demonstrated that periodic coherent-field induced oscillations (Bloch oscillations), which we are able to observe in our simulations of periodic superlattices, are replaced in Fibonacci superlattices by more complex oscillations displaying quasiperiodic signatures, thus sheding more light onto the very peculiar nature of the electronic states in these systems.Comment: 7 pagex, RevTex, 5 Postscript figures. Physical Review B (in press

Energy spectra of quasiperiodic systems via information entropy

We study the relationship between the electronic spectrum structure and the configurational order of one-dimensional quasiperiodic systems. We take the Fibonacci case as an specific example, but the ideas outlined here may be useful to accurately describe the energy spectra of general quasiperiodic systems of technological interest. Our main result concerns the {\em minimization} of the information entropy as a characteristic feature associated to quasiperiodic arrangements. This feature is shown to be related to the ability of quasiperiodic systems to encode more information, in the Shannon sense, than periodic ones. In the conclusion we comment on interesting implications of these results on further developments on the issue of quasiperiodic order.Comment: REVTeX 3.0, 8 pages, 3 figures available on request from FD-A ([email protected]), Phys Rev E submitted, MA/UC3M/02/9

Fermi-Edge Singularities in AlxGa1-xAs Quantum Wells : Extrinsic Versus Many-Body Scattering Processes

A Fano resonance mechanism is evidenced to control the formation of optical Fermi-edge singularities in multi-subband systems such as remotely doped AlxGa1-xAs heterostructures. Using Fano parameters, we probe the physical nature of the interaction between Fermi-sea electrons and empty conduction subbands. We show that processes of extrinsic origin like alloy-disorder prevail easily at 2D over multiple diffusions from charged valence holes expected by many-body scenarios.Comment: 4 pages, 3 figures, accepted for publication in Physical Review Letter

Multifractal analysis of the electronic states in the Fibonacci superlattice under weak electric fields

Influence of the weak electric field on the electronic structure of the Fibonacci superlattice is considered. The electric field produces a nonlinear dynamics of the energy spectrum of the aperiodic superlattice. Mechanism of the nonlinearity is explained in terms of energy levels anticrossings. The multifractal formalism is applied to investigate the effect of weak electric field on the statistical properties of electronic eigenfunctions. It is shown that the applied electric field does not remove the multifractal character of the electronic eigenfunctions, and that the singularity spectrum remains non-parabolic, however with a modified shape. Changes of the distances between energy levels of neighbouring eigenstates lead to the changes of the inverse participation ratio of the corresponding eigenfunctions in the weak electric field. It is demonstrated, that the local minima of the inverse participation ratio in the vicinity of the anticrossings correspond to discontinuity of the first derivative of the difference between marginal values of the singularity strength. Analysis of the generalized dimension as a function of the electric field shows that the electric field correlates spatial fluctuations of the neighbouring electronic eigenfunction amplitudes in the vicinity of anticrossings, and the nonlinear character of the scaling exponent confirms multifractality of the corresponding electronic eigenfunctions.Comment: 10 pages, 9 figure

Enhanced fluctuations of the tunneling density of states near bottoms of Landau bands measured by a local spectrometer

We have found that the local density of states fluctuations (LDOSF) in a disordered metal, detected using an impurity in the barrier as a spectrometer, undergo enhanced (with respect to SdH and dHvA effects) oscillations in strong magnetic fields, omega _c\tau > 1. We attribute this to the dominant role of the states near bottoms of Landau bands which give the major contribution to the LDOSF and are most strongly affected by disorder. We also demonstrate that in intermediate fields the LDOSF increase with B in accordance with the results obtained in the diffusion approximation.Comment: 4 pages, 4 figure