Power Law Distributions of Seismic Rates

We report an empirical determination of the probability density functions $P_{\text{data}}(r)$ of the number $r$ of earthquakes in finite space-time windows for the California catalog. We find a stable power law tail $P_{\text{data}}(r) \sim 1/r^{1+\mu}$ with exponent $\mu \approx 1.6$ for all space ($5 \times 5$ to $20 \times 20$ km$^2$) and time intervals (0.1 to 1000 days). These observations, as well as the non-universal dependence on space-time windows for all different space-time windows simultaneously, are explained by solving one of the most used reference model in seismology (ETAS), which assumes that each earthquake can trigger other earthquakes. The data imposes that active seismic regions are Cauchy-like fractals, whose exponent $\delta =0.1 \pm 0.1$ is well-constrained by the seismic rate data.Comment: 5 pages with 1 figur

Power Law Distributions of Offspring and Generation Numbers in Branching Models of Earthquake Triggering

We consider a general stochastic branching process, which is relevant to earthquakes as well as to many other systems, and we study the distributions of the total number of offsprings (direct and indirect aftershocks in seismicity) and of the total number of generations before extinction. We apply our results to a branching model of triggered seismicity, the ETAS (epidemic-type aftershock sequence) model. The ETAS model assumes that each earthquake can trigger other earthquakes (``aftershocks''). An aftershock sequence results in this model from the cascade of aftershocks of each past earthquake. Due to the large fluctuations of the number of aftershocks triggered directly by any earthquake (``fertility''), there is a large variability of the total number of aftershocks from one sequence to another, for the same mainshock magnitude. We study the regime where the distribution of fertilities mu is characterized by a power law ~1/\mu^(1+gamma). For earthquakes, we expect such a power-law distribution of fertilities with gamma = b/alpha based on the Gutenberg-Richter magnitude distribution ~10^(-bm) and on the increase ~10^(alpha m) of the number of aftershocks with the mainshock magnitude m. We derive the asymptotic distributions p_r(r) and p_g(g) of the total number r of offsprings and of the total number g of generations until extinction following a mainshock. In the regime \gamma<2 relevant for earhquakes, for which the distribution of fertilities has an infinite variance, we find p_r(r)~1/r^(1+1/gamma) and p_g(g)~1/g^(1+1/(gamma -1)). These predictions are checked by numerical simulations.Comment: revtex, 12 pages, 2 ps figures. In press in Pure and Applied Geophysics (2004

Most Efficient Homogeneous Volatility Estimators

We present a comprehensive theory of homogeneous volatility (and variance) estimators of arbitrary stochastic processes that fully exploit the OHLC (open, high, low, close) prices. For this, we develop the theory of most efficient point-wise homogeneous OHLC volatility estimators, valid for any price processes. We introduce the "quasi-unbiased estimators", that can address any type of desirable constraints. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval in the form of the joint distributions of the high-minus-open, low-minus-open and close-minus-open values, whose analytical expression is derived exactly for Wiener processes with drift. The distributions can be calculated to yield the most efficient estimators associated with any statistical properties of the underlying log-price stochastic process. Applied to Wiener processes for log-prices with drift, we provide explicit analytical expressions for the most efficient point-wise volatility and variance estimators, based on the analytical expression of the joint distribution of the high-minus-open, low-minus-open and close-minus-open values. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass, Roger-Satchell and maximum likelihood estimators.Comment: 46 pages including 17 figure

Andrade, Omori and Time-to-failure Laws from Thermal Noise in Material Rupture

Using the simplest possible ingredients of a rupture model with thermal fluctuations, we provide an analytical theory of three ubiquitous empirical observations obtained in creep (constant applied stress) experiments: the initial Andrade-like and Omori-like $1/t$ decay of the rate of deformation and of fiber ruptures and the $1/(t_c-t)$ critical time-to-failure behavior of acoustic emissions just prior to the macroscopic rupture. The lifetime of the material is controlled by a thermally activated Arrhenius nucleation process, describing the cross-over between these two regimes. Our results give further credit to the idea proposed by Ciliberto et al. that the tiny thermal fluctuations may actually play an essential role in macroscopic deformation and rupture processes at room temperature. We discover a new re-entrant effect of the lifetime as a function of quenched disorder amplitude.Comment: 4 pages with 1 figur