66 research outputs found
Pesin's Formula for Random Dynamical Systems on
Pesin's formula relates the entropy of a dynamical system with its positive
Lyapunov exponents. It is well known, that this formula holds true for random
dynamical systems on a compact Riemannian manifold with invariant probability
measure which is absolutely continuous with respect to the Lebesgue measure. We
will show that this formula remains true for random dynamical systems on
which have an invariant probability measure absolutely continuous to the
Lebesgue measure on . Finally we will show that a broad class of
stochastic flows on of a Kunita type satisfies Pesin's formula.Comment: 35 page
L\'evy-areas of Ornstein-Uhlenbeck processes in Hilbert-spaces
In this paper we investigate the existence and some useful properties of the
L\'evy areas of Ornstein-Uhlenbeck processes associated to Hilbert-space-valued
fractional Brownian-motions with Hurst parameter . We prove
that this stochastic area has a H\"older-continuous version with sufficiently
large H\"older-exponent and that can be approximated by smooth areas. In
addition, we prove the stationarity of this area.Comment: 18 page
On arbitrages arising from honest times
In the context of a general continuous financial market model, we study
whether the additional information associated with an honest time gives rise to
arbitrage profits. By relying on the theory of progressive enlargement of
filtrations, we explicitly show that no kind of arbitrage profit can ever be
realised strictly before an honest time, while classical arbitrage
opportunities can be realised exactly at an honest time as well as after an
honest time. Moreover, stronger arbitrages of the first kind can only be
obtained by trading as soon as an honest time occurs. We carefully study the
behavior of local martingale deflators and consider no-arbitrage-type
conditions weaker than NFLVR.Comment: 25 pages, revised versio
Random attractors for degenerate stochastic partial differential equations
We prove the existence of random attractors for a large class of degenerate
stochastic partial differential equations (SPDE) perturbed by joint additive
Wiener noise and real, linear multiplicative Brownian noise, assuming only the
standard assumptions of the variational approach to SPDE with compact
embeddings in the associated Gelfand triple. This allows spatially much rougher
noise than in known results. The approach is based on a construction of
strictly stationary solutions to related strongly monotone SPDE. Applications
include stochastic generalized porous media equations, stochastic generalized
degenerate p-Laplace equations and stochastic reaction diffusion equations. For
perturbed, degenerate p-Laplace equations we prove that the deterministic,
infinite dimensional attractor collapses to a single random point if enough
noise is added.Comment: 34 pages; The final publication is available at
http://link.springer.com/article/10.1007%2Fs10884-013-9294-
Asymptotic behaviour of random tridiagonal Markov chains in biological applications
Discrete-time discrete-state random Markov chains with a tridiagonal
generator are shown to have a random attractor consisting of singleton subsets,
essentially a random path, in the simplex of probability vectors. The proof
uses the Hilbert projection metric and the fact that the linear cocycle
generated by the Markov chain is a uniformly contractive mapping of the
positive cone into itself. The proof does not involve probabilistic properties
of the sample path and is thus equally valid in the nonautonomous deterministic
context of Markov chains with, say, periodically varying transitions
probabilities, in which case the attractor is a periodic path.Comment: 13 pages, 22 bibliography references, submitted to DCDS-B, added
references and minor correction
Multi-level Dynamical Systems: Connecting the Ruelle Response Theory and the Mori-Zwanzig Approach
In this paper we consider the problem of deriving approximate autonomous
dynamics for a number of variables of a dynamical system, which are weakly
coupled to the remaining variables. In a previous paper we have used the Ruelle
response theory on such a weakly coupled system to construct a surrogate
dynamics, such that the expectation value of any observable agrees, up to
second order in the coupling strength, to its expectation evaluated on the full
dynamics. We show here that such surrogate dynamics agree up to second order to
an expansion of the Mori-Zwanzig projected dynamics. This implies that the
parametrizations of unresolved processes suited for prediction and for the
representation of long term statistical properties are closely related, if one
takes into account, in addition to the widely adopted stochastic forcing, the
often neglected memory effects.Comment: 14 pages, 1 figur
Time separation as a hidden variable to the Copenhagen school of quantum mechanics
The Bohr radius is a space-like separation between the proton and electron in
the hydrogen atom. According to the Copenhagen school of quantum mechanics, the
proton is sitting in the absolute Lorentz frame. If this hydrogen atom is
observed from a different Lorentz frame, there is a time-like separation
linearly mixed with the Bohr radius. Indeed, the time-separation is one of the
essential variables in high-energy hadronic physics where the hadron is a bound
state of the quarks, while thoroughly hidden in the present form of quantum
mechanics. It will be concluded that this variable is hidden in Feynman's rest
of the universe. It is noted first that Feynman's Lorentz-invariant
differential equation for the bound-state quarks has a set of solutions which
describe all essential features of hadronic physics. These solutions explicitly
depend on the time separation between the quarks. This set also forms the
mathematical basis for two-mode squeezed states in quantum optics, where both
photons are observable, but one of them can be treated a variable hidden in the
rest of the universe. The physics of this two-mode state can then be translated
into the time-separation variable in the quark model. As in the case of the
un-observed photon, the hidden time-separation variable manifests itself as an
increase in entropy and uncertainty.Comment: LaTex 10 pages with 5 figure. Invited paper presented at the
Conference on Advances in Quantum Theory (Vaxjo, Sweden, June 2010), to be
published in one of the AIP Conference Proceedings serie
Mechanics and thermodynamics of a new minimal model of the atmosphere
The understanding of the fundamental properties of the climate system has long benefitted from the use of simple numerical models able to parsimoniously represent the essential ingredients of its processes. Here, we introduce a new model for the atmosphere that is constructed by supplementing the now-classic Lorenz â96 one-dimensional lattice model with temperature-like variables. The model features an energy cycle that allows for energy to be converted between the kinetic form and the potential form and for introducing a notion of efficiency. The modelâs evolution is controlled by two contributionsâa quasi-symplectic and a gradient one, which resemble (yet not conforming to) a metriplectic structure. After investigating the linear stability of the symmetric fixed point, we perform a systematic parametric investigation that allows us to define regions in the parameters space where at steady-state stationary, quasi-periodic, and chaotic motions are realised, and study how the terms responsible for defining the energy budget of the system depend on the external forcing injecting energy in the kinetic and in the potential energy reservoirs. Finally, we find preliminary evidence that the model features extensive chaos. We also introduce a more complex version of the model that is able to accommodate for multiscale dynamics and that features an energy cycle that more closely mimics the one of the Earthâs atmosphere
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