The goal of this thesis is to contribute to the ambitious program of the foundation of developing statistical physics using chaos. We build a deterministic model of Brownian motion and provide a microscpoic derivation of the Fokker-Planck equation. Since the Brownian motion of a particle is the result of the competing processes of diffusion and dissipation, we create a model where both diffusion and dissipation originate from the same deterministic mechanism - the deterministic interaction of that particle with its environment. We show that standard diffusion which is the basis of the Fokker-Planck equation rests on the Central Limit Theorem, and, consequently, on the possibility of deriving it from a deterministic process with a quickly decaying correlation function. The sensitive dependence on initial conditions, one of the defining properties of chaos insures this rapid decay. We carefully address the problem of deriving dissipation from the interaction of a particle with a fully deterministic nonlinear bath, that we term the booster. We show that the solution of this problem essentially rests on the linear response of a booster to an external perturbation. This raises a long-standing problem concerned with Kubo's Linear Response Theory and the strong criticism against it by van Kampen. Kubo's theory is based on a perturbation treatment of the Liouville equation, which, in turn, is expected to be totally equivalent to a first-order perturbation treatment of single trajectories. Since the boosters are chaotic, and chaos is essential to generate diffusion, the single trajectories are highly unstable and do not respond linearly to weak external perturbation. We adopt chaotic maps as boosters of a Brownian particle, and therefore address the problem of the response of a chaotic booster to an external perturbation. We notice that a fully chaotic map is characterized by an invariant measure which is a continuous function of the control parameters of the map. Consequently if the external perturbation is made to act on a control parameter of the map, we show that the booster distribution undergoes slight modifications as an effect of the weak external perturbation, thereby leading to a linear response of the mean value of the perturbed variable of the booster. This approach to linear response completely bypasses the criticism of van Kampen. The joint use of these two phenomena, diffusion and friction stemming from the interaction of the Brownian particle with the same booster, makes the microscopic derivation of a Fokker-Planck equation and Brownian motion, possible.

This thesis consists of three self-contained parts, each with its own abstract, body, references and page numbering. Part I, 'Potential theory, path integrals and the Laplacian of the indicator', finds the transition density of absorbed or reflected Brownian motion in a d-dimensional domain as a Feynman-Kac functional involving the Laplacian of the indicator, thereby relating the hitherto unrelated fields of classical potential theory and path integrals. Part II, 'The problem of alternatives', considers parallel investment in alternative technologies or drugs developed over time, where there can be only one winner. Parallel investment accelerates the search for the winner, and increases the winner's expected performance, but is also costly. To determine which candidates show sufficient performance and/or promise, we find an integral equation for the boundary of the optimal continuation region. Part III, 'Optimal support for renewable deployment', considers the role of government subsidies for renewable technologies. Rapidly diminishing subsidies are cheaper for taxpayers, but could prematurely kill otherwise successful technologies. By contrast, high subsidies are not only expensive but can also prop up uneconomical technologies. To analyse this trade-off we present a new model for technology learning that makes capacity expansion endogenous. There are two reasons for this standalone structure. First, the target readership is divergent. Part I concerns mathematical physics, Part II operations research, and Part III policy. Readers interested in specific parts can thus read these in isolation. Those interested in the thesis as a whole may prefer to read the three introductions first. Second, the separate parts are only partially interconnected. Each uses some theory from the preceding part, but not all of it; e.g. Part II uses only a subset of the theory from Part I. The quickest route to Part III is therefore not through the entirety of the preceding parts. Furthermore, those instances where results from previous parts are used are clearly indicated.

Call number: LD2668 .T4 1985 C49 / Master of Science

After an introduction to Brownian motion, Hausdorff dimension, nonstandard analysis and Loeb measure theory, we explore the notion of a nonstandard formulation of Hausdorff dimension. By considering an adapted form of the counting measure formulation of Lebesgue measure, we find that Hausdorff dimension can be computed through a counting argument rather than the traditional way. This formulation is then applied to obtain simple proofs of some of the dimensional properties of Brownian motion, such as the doubling of the dimension of a set of dimension smaller than 1/2 under Brownian motion, by utilising Anderson's formulation of Brownian motion as a hyperfinite random walk. We also use the technique to refine a theorem of Orey and Taylor's on the Hausdorff dimension of the rapid points of Brownian motion. The result is somewhat stronger than the original. Lastly, we give a corrected proof of Kaufman's result that the rapid points of Brownian motion have similar Hausdorff and Fourier dimensions, implying that they constitute a Salem set. / Mathematical Sciences / D. Phil. (Mathematical Sciences)

This dissertation presents and explores a technique to confine and manipulate single and multiple nano-objects in solution by exploiting the thermophoretic interactions with local temperature gradients. The method named thermophoretic trap uses an all-optically controlled heating via plasmonic absorption by a gold nano-structure designed for this purpose. The dissipation of absorbed laser light to thermal energy generates a localized temperature field. The spatial localization of the heat source thereby leads to strong temperature gradients that are used to drive a particle or molecule into a desired direction. The behavior of nano-objects confined by thermal inhomogeneities is explored experimentally as well as theoretically. The monograph treats three major experimental stages of development, which essentially differ in the way the heating laser beam is shaped and controlled. In a first generation, a static heating of an appropriate gold structure is used to induce a steady temperature profile that exhibits a local minimum in which particles can be confined. This simple realization illustrates the working principle best. In a second step, the static heating is replaced. A focused laser beam is used to heat a smaller spatial region. In order to confine a particle, the beam is steered in circles along a circular gold structure. The trapping dynamics are studied in detail and reveal similarities to the well-established Paul trap. The largest part of the thesis is dedicated to the third generation of the trap. While the hardware is identical to the second generation, using the real-time information on the position of the trapped object to heat only particular sites of the gold structure strongly increases the efficiency of the trap compared to the earlier versions. Beyond that, the optical feedback control allows for an active shaping of the effective virtual trapping potential by applying modified feedback rules, including e.g. a double-well or a box-like potential. This transforms the formerly pure trapping device to a versatile technique for micro and nano-fluidic manipulation. The physical and technical contributions to the limits of the method are explored. Finally, the feasibility of trapping single macro-molecules is demonstrated by the confinement of lambda-DNA for extended time periods over which the molecules center-of-mass motion as well as its conformational dynamics can be studied.

Texas’ Mass Emission Cap and Trade program is a mandatory Nitrous Oxide (NOx) abatement program for medium and large stationary sources located in the Houston-Galveston ozone non-attainment area. Effected companies are required to upgrade equipment to meet the current best achievable NOx control technology (BACT) standards or to purchase emission credits in sufficient quantity to cover the difference in emissions between existing equipment and equipment meeting the BACT standard. With over 260 participating companies, the market for emission credits is ever changing, making it difficult to evaluate whether the lowest cost decision is to upgrade equipment or to purchase NOx emission credits. Because equipment upgrades are capital investments, a well informed, rational decision can have a significant impact on the corporate balance sheet. The objective of this research is to aid the decision maker by predicting credit prices based on a Geometric Brownian Motion model based on historical NOx emission credit transactions. The predicted credit price is useful in evaluating the likelihood of the equipment upgrade option being a favorable or unfavorable decision. For the examined cases, modeled results indicate that equipment upgrade is the more cost effective option. / text

Diffusion processes provide a natural way of modelling a variety of physical and economic phenomena. It is often the case that one is unable to observe a diffusion process directly, and must instead rely on noisy observations that are discretely spaced in time. Given these discrete, noisy observations, one is faced with the task of inferring properties of the underlying diffusion process. For example, one might be interested in inferring the current state of the process given observations up to the present time (this is known as the filtering problem). Alternatively, one might wish to infer parameters governing the time evolution the diffusion process. In general, one cannot apply Bayes’ theorem directly, since the transition density of a general nonlinear diffusion is not computationally tractable. In this thesis, we investigate a novel method of simplifying the problem. The stochastic differential equation that describes the diffusion process is replaced with a simpler ordinary differential equation, which has a random driving noise that approximates Brownian motion. We show how one can exploit this approximation to improve on standard methods for inferring properties of nonlinear diffusion processes.

Esse é um trabalho teórico e experimental em que princípios básicos de mecânica estatística são utilizados para entender a dinâmica de micro e nano esferas acopladas direta e indiretamente a células aderentes vivas, objetivando a caracterização mecânica das mesmas. Dentre esses princípios básicos estão inclusos, principalmente, conceitos relacionados à difusão. Na difusão clássica, tem-se uma dependência linear do deslocamento quadrático médio com o tempo. Caso contrário, quando o expoente é diferente de um, tem-se o que se chama de difusão anômala. Caso seja maior que um, o processo é superdifusivo, e se menor que um, subdifusivo. Para se estudar o comportamento mecânico de sistemas complexos pode-se usar micro e nanoesferas como elementos de análise. Essas esferas são dispostas no material a ser estudado, e observando a sua dinâmica é possível caracterizar o processo que conduziu essa dinâmica e consequentemente inferir propriedades físicas do material. Nesse trabalho aplicam-se técnicas de rastreamento de partículas, microscópicas e nanoscópicas, para estudar propriedades dinâmica de células, especialmente difusibilidade, remodelação da estrutura celular e campos de força. Para isso foram utilizadas duas técnicas experimentais de rastreamento de micro e nanoesferas e modelos fenomenológicos e de mecânica estatística. Essas propriedades dinâmicas tem uma grande semelhança com materiais vítreos moles. Nesse contexto, certas funções celulares, como divisão, contração, difusão, requerem que as células apresentem fluidez similarmente a um líquido, enquanto que para outras funções, como manter a sua estrutura celular, elas devam ter uma aparência mais rígida. Essas características assemelham-se a um material vítreo, onde desordem e metastabilidade são características subjacentes de suas funções mecânicas. Os resultados experimentais apresentados aqui evidenciam essa metaestabilidade na forma de anomalias e correlações temporais dos vários dados coletados. Também explicamos os dados experimentais encontrados em termos das atividades metabólicas e a remodelação ativa do citoesqueleto. Mostra-se também os dados obtidos para músculo cardíaco em plena atividade pulsátil. Os resultados aqui obtidos têm aplicações diretas em pesquisa básica e clínica. / This is a theoretical and experimental work in which basic principles of statistical mechanics are used to understand the dynamics of micro and nano spheres attached directly or indirectly to living adherent cells, with the aim of the mechanical characterization of them. Among these basic principles, mainly concepts related to diffusion are included. In classical diffusion, there is a linear dependence of the mean squared displacement in time. Otherwise, when the exponent is diferent than one , there is what is called anomalous diffusion. If it is bigger than one, the process is superdiffusive, and if it is smaller than one, subdiffusive. To study the mechanical behavior of complex systems,micro and nanospheres can be used as analysis elements. These spheres are arranged in the material to be studied, and from observation of the dynamics is possible to characterize the leading process of this dynamic and therefore infer physical properties of the material. In this work, particle tracking techniques, for microscopic and nanoscopic spheres, are applied to study dynamic properties of cells, especially diffusivity, remodeling of the cell structure and force fields. For that we used two experimental techniques of tracking of micro and nanospheres, and phenomenological and statistical mechanics models. These dynamic properties have a great similarity to soft glassy materials. In this context, certain cellular functions such as division, contraction, diffusion, require that cells present fluidity similarly to a liquid, while for other functions, such as keeping the cellular structure, they should have a stiffer appearance. These characteristics resemble a glassy material, where disorder and metastability are underlying characteristics of their mechanical functions. The experimental results presented here show this metastability as anomalies and temporal correlations of the various data collected. We also explain the experimental data found in terms of metabolic activity and the active remodeling of the cytoskeleton. Also data obtained for heart muscle in full pulsatile activity is showed. The results obtained have direct applications in basic and clinical research.

Piecewise-smooth stochastic systems are widely used in engineering science. However, the theory of these systems is only in its infancy. In this thesis, we take as an example the Brownian motion with dry friction to illustrate dynamical properties of these systems with respect to three interesting topics: (i) weak-noise approximations, (ii) first-passage time (FPT) problems and (iii) functionals of stochastic processes. Firstly, we investigate the validity and accuracy of weak-noise approximations for piecewise-smooth stochastic differential equations (SDEs), taking as an illustrative example the Brownian motion with pure dry friction. For this model, we show that the weak-noise approximation of the path integral correctly reproduces the known propagator of the SDE at lowest order in the noise power, as well as the main features of the exact propagator with higher-order corrections, provided that the singularity of the path integral is treated with some heuristics. We also consider a smooth regularisation of this piecewise-constant SDE and study to what extent this regularisation can rectify some of the problems encountered in the non-smooth case. Secondly, we provide analytic solutions to the FPT problem of the Brownian motion with dry friction. For the pure dry friction case, we find a phase transition phenomenon in the spectrum which relates to the position of the exit point and affects the tail of the FPT distribution. For the model with dry and viscous friction, we evaluate quantitatively the impact of the corresponding stick-slip transition and of the transition to ballistic exit. We also derive analytically the distributions of the maximum velocity till the FPT for the dry friction model. Thirdly, we generalise the so-called backward Fokker-Planck technique and obtain a recursive ordinary differential equation for the moments of functionals in the Laplace space. We then apply the developed results to analyse the local time, the occupation time and the displacement of the dry friction model. Finally, we conclude this thesis and state some related unsolved problems.

Lam, Yu Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 40-43). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Methodology --- p.6 / Chapter 2.1 --- Brownian Motion --- p.6 / Chapter 2.2 --- Reflected Brownian Motion --- p.8 / Chapter 2.3 --- Partially Reflected Brownian Motion --- p.11 / Chapter 3 --- Numerical Analysis --- p.15 / Chapter 3.1 --- Comparison of RBM and PRBM --- p.15 / Chapter 3.2 --- Initial state far from the boundaries --- p.17 / Chapter 3.3 --- Initial state close to a boundary --- p.17 / Chapter 4 --- A Study of the USD/HKD Exchange Rate --- p.23 / Chapter 4.1 --- Data Description --- p.23 / Chapter 4.2 --- Testing for the Mean-reverting Property --- p.25 / Chapter 4.3 --- Testing for Decreasing Volatility near the Boundaries --- p.27 / Chapter 4.4 --- Estimation Results --- p.27 / Chapter 5 --- Conclusion --- p.31 / Chapter A --- Derivation of MLE estimator --- p.33 / Chapter B --- Numerical Laplace Inversion --- p.35 / Chapter C --- Augmented Dickey-Fuller Test --- p.39 / Bibliography --- p.40