On stochasticity in nearly-elastic systems

Nearly-elastic model systems with one or two degrees of freedom are considered: the system is undergoing a small loss of energy in each collision with the "wall". We show that instabilities in this purely deterministic system lead to stochasticity of its long-time behavior. Various ways to give a rigorous meaning to the last statement are considered. All of them, if applicable, lead to the same stochasticity which is described explicitly. So that the stochasticity of the long-time behavior is an intrinsic property of the deterministic systems.Comment: 35 pages, 12 figures, already online at Stochastics and Dynamic

Convergence of invariant densities in the small-noise limit

This paper presents a systematic numerical study of the effects of noise on the invariant probability densities of dynamical systems with varying degrees of hyperbolicity. It is found that the rate of convergence of invariant densities in the small-noise limit is frequently governed by power laws. In addition, a simple heuristic is proposed and found to correctly predict the power law exponent in exponentially mixing systems. In systems which are not exponentially mixing, the heuristic provides only an upper bound on the power law exponent. As this numerical study requires the computation of invariant densities across more than 2 decades of noise amplitudes, it also provides an opportunity to discuss and compare standard numerical methods for computing invariant probability densities.Comment: 27 pages, 19 figures, revised with minor correction

Brownian Simulations and Uni-Directional Flux in Diffusion

Brownian dynamics simulations require the connection of a small discrete simulation volume to large baths that are maintained at fixed concentrations and voltages. The continuum baths are connected to the simulation through interfaces, located in the baths sufficiently far from the channel. Average boundary concentrations have to be maintained at their values in the baths by injecting and removing particles at the interfaces. The particles injected into the simulation volume represent a unidirectional diffusion flux, while the outgoing particles represent the unidirectional flux in the opposite direction. The classical diffusion equation defines net diffusion flux, but not unidirectional fluxes. The stochastic formulation of classical diffusion in terms of the Wiener process leads to a Wiener path integral, which can split the net flux into unidirectional fluxes. These unidirectional fluxes are infinite, though the net flux is finite and agrees with classical theory. We find that the infinite unidirectional flux is an artifact caused by replacing the Langevin dynamics with its Smoluchowski approximation, which is classical diffusion. The Smoluchowski approximation fails on time scales shorter than the relaxation time $1/\gamma$ of the Langevin equation. We find the unidirectional flux (source strength) needed to maintain average boundary concentrations in a manner consistent with the physics of Brownian particles. This unidirectional flux is proportional to the concentration and inversely proportional to $\sqrt{\Delta t}$ to leading order. We develop a BD simulation that maintains fixed average boundary concentrations in a manner consistent with the actual physics of the interface and without creating spurious boundary layers

A general approximation of quantum graph vertex couplings by scaled Schroedinger operators on thin branched manifolds

We demonstrate that any self-adjoint coupling in a quantum graph vertex can be approximated by a family of magnetic Schroedinger operators on a tubular network built over the graph. If such a manifold has a boundary, Neumann conditions are imposed at it. The procedure involves a local change of graph topology in the vicinity of the vertex; the approximation scheme constructed on the graph is subsequently `lifted' to the manifold. For the corresponding operator a norm-resolvent convergence is proved, with the natural identification map, as the tube diameters tend to zero.Comment: 19 pages, one figure; introduction amended and some references added, to appear in CM

The Kardar-Parisi-Zhang equation in the weak noise limit: Pattern formation and upper critical dimension

We extend the previously developed weak noise scheme, applied to the noisy Burgers equation in 1D, to the Kardar-Parisi-Zhang equation for a growing interface in arbitrary dimensions. By means of the Cole-Hopf transformation we show that the growth morphology can be interpreted in terms of dynamically evolving textures of localized growth modes with superimposed diffusive modes. In the Cole-Hopf representation the growth modes are static solutions to the diffusion equation and the nonlinear Schroedinger equation, subsequently boosted to finite velocity by a Galilei transformation. We discuss the dynamics of the pattern formation and, briefly, the superimposed linear modes. Implementing the stochastic interpretation we discuss kinetic transitions and in particular the properties in the pair mode or dipole sector. We find the Hurst exponent H=(3-d)/(4-d) for the random walk of growth modes in the dipole sector. Finally, applying Derrick's theorem based on constrained minimization we show that the upper critical dimension is d=4 in the sense that growth modes cease to exist above this dimension.Comment: 27 pages, 19 eps figs, revte

Systemic Risk and Default Clustering for Large Financial Systems

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015

On occurrence of spectral edges for periodic operators inside the Brillouin zone

The article discusses the following frequently arising question on the spectral structure of periodic operators of mathematical physics (e.g., Schroedinger, Maxwell, waveguide operators, etc.). Is it true that one can obtain the correct spectrum by using the values of the quasimomentum running over the boundary of the (reduced) Brillouin zone only, rather than the whole zone? Or, do the edges of the spectrum occur necessarily at the set of ``corner'' high symmetry points? This is known to be true in 1D, while no apparent reasons exist for this to be happening in higher dimensions. In many practical cases, though, this appears to be correct, which sometimes leads to the claims that this is always true. There seems to be no definite answer in the literature, and one encounters different opinions about this problem in the community. In this paper, starting with simple discrete graph operators, we construct a variety of convincing multiply-periodic examples showing that the spectral edges might occur deeply inside the Brillouin zone. On the other hand, it is also shown that in a ``generic'' case, the situation of spectral edges appearing at high symmetry points is stable under small perturbations. This explains to some degree why in many (maybe even most) practical cases the statement still holds.Comment: 25 pages, 10 EPS figures. Typos corrected and a reference added in the new versio

Beyond the Fokker-Planck equation: Pathwise control of noisy bistable systems

We introduce a new method, allowing to describe slowly time-dependent Langevin equations through the behaviour of individual paths. This approach yields considerably more information than the computation of the probability density. The main idea is to show that for sufficiently small noise intensity and slow time dependence, the vast majority of paths remain in small space-time sets, typically in the neighbourhood of potential wells. The size of these sets often has a power-law dependence on the small parameters, with universal exponents. The overall probability of exceptional paths is exponentially small, with an exponent also showing power-law behaviour. The results cover time spans up to the maximal Kramers time of the system. We apply our method to three phenomena characteristic for bistable systems: stochastic resonance, dynamical hysteresis and bifurcation delay, where it yields precise bounds on transition probabilities, and the distribution of hysteresis areas and first-exit times. We also discuss the effect of coloured noise.Comment: 37 pages, 11 figure

Fixation, transient landscape and diffusion's dilemma in stochastic evolutionary game dynamics

Agent-based stochastic models for finite populations have recently received much attention in the game theory of evolutionary dynamics. Both the ultimate fixation and the pre-fixation transient behavior are important to a full understanding of the dynamics. In this paper, we study the transient dynamics of the well-mixed Moran process through constructing a landscape function. It is shown that the landscape playing a central theoretical "device" that integrates several lines of inquiries: the stable behavior of the replicator dynamics, the long-time fixation, and continuous diffusion approximation associated with asymptotically large population. Several issues relating to the transient dynamics are discussed: (i) multiple time scales phenomenon associated with intra- and inter-attractoral dynamics; (ii) discontinuous transition in stochastically stationary process akin to Maxwell construction in equilibrium statistical physics; and (iii) the dilemma diffusion approximation facing as a continuous approximation of the discrete evolutionary dynamics. It is found that rare events with exponentially small probabilities, corresponding to the uphill movements and barrier crossing in the landscape with multiple wells that are made possible by strong nonlinear dynamics, plays an important role in understanding the origin of the complexity in evolutionary, nonlinear biological systems.Comment: 34 pages, 4 figure

Elementary derivation of Spitzer's asymptotic law for Brownian windings and some of its physical applications

A simple derivation of Spitzer'z asymptotic law for Brownian windings [Trans.Am.Math.Soc.87,187 (1958)]is presented along with its generalizations >.These include the cases of planar Brownian walks interacting with a single puncture and Brownian walks on a single truncated cone with variable conical angle interacting with the truncated conical tip.Such situations are typical in the theories of quantum Hall effect and 2+1 quantum gravity, respectively .They also have some applications in polymer physic