Analysis of stochastic time series in the presence of strong measurement noise

A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the strength and the correlation time of the noise as well as polynomial approximations of the drift and diffusion functions from the underlying Langevin equation.Comment: 12 pages, 10 figures; corrected typos and reference

Numerical treatment of the hyperboloidal initial value problem for the vacuum Einstein equations. I. The conformal field equations

This is the first in a series of articles on the numerical solution of Friedrich's conformal field equations for Einstein's theory of gravity. We will discuss in this paper why one should be interested in applying the conformal method to physical problems and why there is good hope that this might even be a good idea from the numerical point of view. We describe in detail the derivation of the conformal field equations in the spinor formalism which we use for the implementation of the equations, and present all the equations as a reference for future work. Finally, we discuss the implications of the assumptions of a continuous symmetry.Comment: 19 pages, LaTeX2

Nonstationary Increments, Scaling Distributions, and Variable Diffusion Processes in Financial Markets

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies conducted over the last decade have reported that they arenon-Gaussian, scale in time, and have power-law(or fat) tails. However, because they use sliding interval methods of analysis, these studies implicitly assume that the underlying process has stationary increments. We explicitly show that this assumption is not valid for the Euro-Dollar exchange rate between 1999-2004. In addition, we find that fluctuations in returns of the exchange rate are uncorrelated and scale as power-laws for certain time intervals during each day. This behavior is consistent with a diffusive process with a diffusion coefficient that depends both on the time and the price change. Within scaling regions, we find that sliding interval methods can generate fat-tailed distributions as an artifact, and that the type of scaling reported in many previous studies does not exist.Comment: 12 pages, 4 figure

Effect of Local Electron-Electron Correlation in Hydrogen-like Impurities in Ge

We have studied the electronic and local magnetic structure of the hydrogen interstitial impurity at the tetrahedral site in diamond-structure Ge, using an empirical tight binding + dynamical mean field theory approach because within the local density approximation (LDA) Ge has no gap. We first establish that within LDA the 1s spectral density bifurcates due to entanglement with the four neighboring sp3 antibonding orbitals, providing an unanticipated richness of behavior in determining under what conditions a local moment hyperdeep donor or Anderson impurity will result, or on the other hand a gap state might appear. Using a supercell approach, we show that the spectrum, the occupation, and the local moment of the impurity state displays a strong dependence on the strength of the local on-site Coulomb interaction U, the H-Ge hopping amplitude, the depth of the bare 1s energy level epsilon_H, and we address to some extent the impurity concentration dependence. In the isolated impurity, strong interaction regime a local moment emerges over most of the parameter ranges indicating magnetic activity, and spectral density structure very near (or in) the gap suggests possible electrical activity in this regime.Comment: 9 pages, 5 figure

First-order symmetrizable hyperbolic formulations of Einstein's equations including lapse and shift as dynamical fields

First-order hyperbolic systems are promising as a basis for numerical integration of Einstein's equations. In previous work, the lapse and shift have typically not been considered part of the hyperbolic system and have been prescribed independently. This can be expensive computationally, especially if the prescription involves solving elliptic equations. Therefore, including the lapse and shift in the hyperbolic system could be advantageous for numerical work. In this paper, two first-order symmetrizable hyperbolic systems are presented that include the lapse and shift as dynamical fields and have only physical characteristic speeds.Comment: 11 page

Exponential Decay for Small Non-Linear Perturbations of Expanding Flat Homogeneous Cosmologies

It is shown that during expanding phases of flat homogeneous cosmologies all small enough non-linear perturbations decay exponentially. This result holds for a large class of perfect fluid equations of state, but notably not for very ``stiff'' fluids as the pure radiation case

Revised Huang-Yang multipolar pseudopotential

A number of authors have recently pointed out inconsistencies of results obtained with the Huang-Yang multipolar pseudo-potential for low-energy scattering [K. Huang and K. C. Yang, Phys. Rev. A, v 105, 767 (1957); later revised in K. Huang, ``Statistical Mechanics'', (Wiley, New York, 1963)]. The conceptual validity of their original derivation has been questioned. Here I show that these inconsistencies are rather due to an {\em algebraic} mistake made by Huang and Yang. With the corrected error, I present the revised version of the multipolar pseudo-potential

Theoretical investigation into the possibility of very large moments in Fe16N2

We examine the mystery of the disputed high-magnetization \alpha"-Fe16N2 phase, employing the Heyd-Scuseria-Ernzerhof screened hybrid functional method, perturbative many-body corrections through the GW approximation, and onsite Coulomb correlations through the GGA+U method. We present a first-principles computation of the effective on-site Coulomb interaction (Hubbard U) between localized 3d electrons employing the constrained random-phase approximation (cRPA), finding only somewhat stronger on-site correlations than in bcc Fe. We find that the hybrid functional method, the GW approximation, and the GGA+U method (using parameters computed from cRPA) yield an average spin moment of 2.9, 2.6 - 2.7, and 2.7 \mu_B per Fe, respectively.Comment: 8 pages, 3 figure

3D simulations of Einstein's equations: symmetric hyperbolicity, live gauges and dynamic control of the constraints

We present three-dimensional simulations of Einstein equations implementing a symmetric hyperbolic system of equations with dynamical lapse. The numerical implementation makes use of techniques that guarantee linear numerical stability for the associated initial-boundary value problem. The code is first tested with a gauge wave solution, where rather larger amplitudes and for significantly longer times are obtained with respect to other state of the art implementations. Additionally, by minimizing a suitably defined energy for the constraints in terms of free constraint-functions in the formulation one can dynamically single out preferred values of these functions for the problem at hand. We apply the technique to fully three-dimensional simulations of a stationary black hole spacetime with excision of the singularity, considerably extending the lifetime of the simulations.Comment: 21 pages. To appear in PR

Estimation of drift and diffusion functions from time series data: A maximum likelihood framework

Complex systems are characterized by a huge number of degrees of freedom often interacting in a non-linear manner. In many cases macroscopic states, however, can be characterized by a small number of order parameters that obey stochastic dynamics in time. Recently techniques for the estimation of the corresponding stochastic differential equations from measured data have been introduced. This contribution develops a framework for the estimation of the functions and their respective (Bayesian posterior) confidence regions based on likelihood estimators. In succession approximations are introduced that significantly improve the efficiency of the estimation procedure. While being consistent with standard approaches to the problem this contribution solves important problems concerning the applicability and the accuracy of estimated parameters.Comment: 18 pages, 2 figure