The size of the largest fluctuations in a market model with Markovian switching

This paper considers the size of the large fluctuations of a stochastic differential equation with Markovian switching. We concentrate on processes which obey the Law of the Iterated Logarithm, or obey upper and lower iterated logarithm growth bounds on their almost sure partial maxima. The results are applied to financial market models which are subject to random regime shifts. We prove that the security exhibits the same long-run growth properties and deviations from the trend rate of growth as conventional geometric Brownian motion, and also that the returns, which are non-Gaussian, still exhibit the same growth rate in their almost sure large deviations as stationary continuous-time Gaussian processes

Coherent potential approximation of random nearly isostatic kagome lattice

The kagome lattice has coordination number $4$, and it is mechanically isostatic when nearest neighbor ($NN$) sites are connected by central force springs. A lattice of $N$ sites has $O(\sqrt{N})$ zero-frequency floppy modes that convert to finite-frequency anomalous modes when next-nearest-neighbor ($NNN$) springs are added. We use the coherent potential approximation (CPA) to study the mode structure and mechanical properties of the kagome lattice in which $NNN$ springs with spring constant $\kappa$ are added with probability \Prob= \Delta z/4, where $\Delta z= z-4$ and $z$ is the average coordination number. The effective medium static $NNN$ spring constant $\kappa_m$ scales as \Prob^2 for \Prob \ll \kappa and as \Prob for \Prob \gg \kappa, yielding a frequency scale $\omega^* \sim \Delta z$ and a length scale $l^*\sim (\Delta z)^{-1}$. To a very good approximation at at small nonzero frequency, \kappa_m(\Prob,\omega)/\kappa_m(\Prob,0) is a scaling function of $\omega/\omega^*$. The Ioffe-Regel limit beyond which plane-wave states becomes ill-define is reached at a frequency of order $\omega^*$.Comment: 15 pages, 8 figure

Isostaticity, auxetic response, surface modes, and conformal invariance in twisted kagome lattices

Model lattices consisting of balls connected by central-force springs provide much of our understanding of mechanical response and phonon structure of real materials. Their stability depends critically on their coordination number $z$. $d$-dimensional lattices with $z=2d$ are at the threshold of mechanical stability and are isostatic. Lattices with $z<2d$ exhibit zero-frequency "floppy" modes that provide avenues for lattice collapse. The physics of systems as diverse as architectural structures, network glasses, randomly packed spheres, and biopolymer networks is strongly influenced by a nearby isostatic lattice. We explore elasticity and phonons of a special class of two-dimensional isostatic lattices constructed by distorting the kagome lattice. We show that the phonon structure of these lattices, characterized by vanishing bulk moduli and thus negative Poisson ratios and auxetic elasticity, depends sensitively on boundary conditions and on the nature of the kagome distortions. We construct lattices that under free boundary conditions exhibit surface floppy modes only or a combination of both surface and bulk floppy modes; and we show that bulk floppy modes present under free boundary conditions are also present under periodic boundary conditions but that surface modes are not. In the the long-wavelength limit, the elastic theory of all these lattices is a conformally invariant field theory with holographic properties, and the surface waves are Rayleigh waves. We discuss our results in relation to recent work on jammed systems. Our results highlight the importance of network architecture in determining floppy-mode structure.Comment: 12 pages, 7 figure