Humboldt-Univ., Diss.--Berlin, 1987. / Literaturverz. S. [203] - 228.

Techn. University, Diss., 2000--Berlin.

Orientador: Elso Drigo Filho / Banca: Nelson Augusto Alves / Banca: José Roberto Ruggiero / Resumo: Este trabalho explora a relação entre a equação de Fokker-Planck e a equação de Schrödinger para estudar soluções da primeira equação. O ponto de partida é o estudo do potencial de Morse, seguido pela geração de potenciais isoespectrais ao potencial de Morse, usando o formalismo de Supersimetria em Mecânica Quântica. Os potenciais quânticos isoespectrais possuem os mesmos autovalores de energia do potencial original, mas as funções de onda são distintas. Dessa forma, a probabilidade de transição resultante da equação de Fokker-Planck, que pode ser escrita como uma expansão destas funções de onda conduz a resultados diferentes daqueles obtidos para o potencial original gerando toda uma classe de resultados novos. / Abstract: This work explores the relation between the Fokker-Planck equation and the Schrödinger equation in order to study solutions for the first one. The starting point is the study of the Schrödinger equation for Morse potential. The next step is to determine the isospectral potential by using the formalism of Supersymmetric Quantum Mechanics. Quantum isospectral potentials have the same energy spectrum of the original Morse potential, but the wave functions are different. Therefore, the transition probability that results from the Fokker-Planck equation, leads to different results from those obtained for the original potential. / Mestre

Orientador: Vincent Buonomano / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Ciencia da Computação / Made available in DSpace on 2018-07-21T07:24:29Z (GMT). No. of bitstreams: 1 Madureira_AntonioJustinoRuas_D.pdf: 1952178 bytes, checksum: 202519df1e360cddf5c9a8962328d546 (MD5) Previous issue date: 1996 / Resumo: Não informado / Abstract: Not informed / Doutorado / Fisica-Matematica / Doutor em Matemática Aplicada

[pt] As flutuações de preços e de outras grandezas observáveis nos mercados financeiros apresentam comportamentos não triviais, tais como longas correlações temporais, não gaussianidade ou leis de escala, cuja origem não é ainda bem compreendida. Neste trabalho investigamos possíveis mecanismos determinísticos e estocásticos responsáveis pelas distribuições de probabilidade anômalas observadas para os índices de mercado e para os volumes de ações comercializadas. No primeiro caso, consideramos a expansão de Kramers-Moyal como ponto de partida para descrever a evolução das densidades de probabilidade. Para a modelagem dos volumes negociados, consideramos misturas estatísticas que surgem das flutuações em escalas longas dos parâmetros internos que descrevem a dinâmica em escalas mais curtas. Este estudo provê uma demonstração consistente, a partir de análise empírica de séries temporais reais, de como funções de densidade de probabilidade com caudas em lei de potência podem emergir através de mecanismos diversos, tais como processos estocásticos com flutuações aditivo-multiplicativas, ou como resultado de misturas estatísticas. / [en] The fluctuations of prices and other observables in financial markets have non-trivial behaviors, such as long temporal correlations, non-Gaussianity or scaling laws, whose origin is not well understood so far. In this work we have investigated possible deterministic and stochastic mechanisms responsible for the anomalous probability distributions observed for market indexes and volumes of traded shares. In the first case, we consider the Kramers-Moyal expansion as a starting point to describe the evolution of probability densities. For the modelling of trading volumes, we consider the mixed statistics that emerges from the long-scale fluctuations of inner parameters that describe the dynamics on shorter scales. This study provides a consistent demonstration, from empirical analysis of real time series, on how probability density functions with power laws tails may emerge through various mechanisms, such as stochastic processes with additive-multiplicative fluctuations or as a result of mixed statistics.

The pseudospectral method is a family of numerical methods for the solution of differential equations based on the expansion of basis functions defined on a set of grid points. In this thesis, the relationship between the distribution of grid points and the accuracy and convergence of the solution is emphasized. The polynomial and sinc pseudospectral methods are extensively studied along with many applications to quantum and statistical mechanics involving the Fokker-Planck and Schroedinger equations. The grid points used in the polynomial methods coincide with the points of quadrature, which are defined by a set of polynomials orthogonal with respect to a weight function. The choice of the weight function plays an important role in the convergence of the solution. It is observed that rapid convergence is usually achieved when the weight function is chosen to be the square of the ground-state eigenfunction of the problem. The sinc method usually provides a slow convergence as the grid points are uniformly distributed regardless of the behaviour of the solution. For both polynomial and sinc methods, the convergence rate can be improved by redistributing the grid points to more appropriate positions through a transformation of coordinates. The transformation method discussed in this thesis preserves the orthogonality of the basis functions and provides simple expressions for the construction of discretized matrix operators. The convergence rate can be improved by several times in the evaluation of loosely bound eigenstates with an exponential or hyperbolic sine transformation. The transformation can be defined explicitly or implicitly. An explicit transformation is based on a predefined mapping function, while an implicit transformation is constructed by an appropriate set of grid points determined by the behaviour of the solution. The methodologies of these transformations are discussed with some applications to 1D and 2D problems. The implicit transformation is also used as a moving mesh method for the time-dependent Smoluchowski equation when a function with localized behaviour is used as the initial condition. / Science, Faculty of / Mathematics, Department of / Graduate

In this thesis a method is presented for the modelling the effects of the excluded volume (ion-ion) and ion excess polarisability (ion-solvent) interactions in an electrolyte at a smooth planar electrode. The impact of these interactions is studied in terms of the equilibrium state of single and mixed electrolytes, the dynamic response of single electrolytes to a time-dependent applied potential, and their effect on the reaction rate, for both steady and time-dependent applied potentials. For reacting systems, the reaction rate is modelled using a modified form of the Frumkin-Butler-Volmer equation, in which the interactions are explicitly accounted for. At equilibrium, the model offers improvement over models which only account for the excluded volume interaction, in terms of both the predicted electrolyte structure and the electrical properties of the electrode. For example accounting for the polarisability interaction is shown to limit and then reverse the growth in the differential capacitance at the point of zero charge as the bulk concentration increases, an effect is not seen when only the excluded volume interaction is accounted for. Another example is for mixed electrolytes, in which accounting for the polarisability interaction leads to better agreement with experimental data regarding the composition of the double layer. For the response of an electrolyte to a potential step, the two interactions both lead to peaks in the time taken to reach equilibrium as a function of the potential. The effect of the domain length on the equilibration time is qualitatively discussed, together with the differences between the two interaction models. The response to a time-dependent potential is analysed through simulated electrochemical impedance spectroscopy and consideration of the capacitance dispersion effect. Between this and the potential step response data it is shown that the interactions themselves have little direct effect on the dynamic processes beyond the way in which they limit the ion concentrations in the double layer and alter the differential capacitance of the system. The investigation of the effect of the ion interactions on the reaction rate shows that both terms can either increase or decrease the rate, relative to a system with no interactions, depending on the details of the reaction and the applied potential. This is linked to the changes in the electric field within the double layer, which are caused by the interactions, and how this affects the reactant flux in that region. In terms of simulated EIS, deviations are observed relative to the equivalent circuit for the system, the reasons for which are discussed.

Les modèles et les observations actuels de l’Univers sont en accords aux grandes échelles. Néanmoins, cela ne permet pas d’expliquer la formation des structures baryoniques dans l’Univers. Afin de contraindre la formation des structures dans l’Univers, des observations sont nécessaires à différents redshifts pour observer les structures à différentes étapes d’évolutions. Le satellite Planck donne accès à des objets dont les redshifts sont compris entre z=2 et z=4. Ainsi environ 1200 objets extragalactiques susceptibles d’être à haut redshift sont détectés dans 26% du ciel, autour des pôles galactiques. Un sous échantillon de 228 sources est observé à plus grande sensibilité et résolution angulaire avec le satellite Herschel. Grâce à ces observations je peux résoudre les sources ponctuelles de Planck en plusieurs sources Herschel. J’identifie alors trois possibilités de type de sources, soit c’est une candidate de source amplifiée par lentillage gravitationnel, soit c’est un candidat d’amas de galaxies à haut redshift, soit c’est un alignement de sources fortuit le long de la ligne de visé. Après analyse, j’ai identifié dans cet échantillon 11 sources amplifiées par lentillage gravitationnel parmi les plus brillantes du ciel sub-millimétrique. Ces sources ont des redshifts compris entre z=2.2 et z=3.6 (Canameras et al., 2015) et permettent de sonder la formation stellaire dans l’Univers lointain. Il reste 217 surdensités de sources que j’ai étudié. En utilisant la couleur des sources Herschel, j’ai calculé une estimation de la densité des sources. 50% des champs Herschel de l’échantillon on une surdensité supérieur à 10sigma lorsque l’on sélectionne les sources rouges (S250/S350 < 1.4 et S500/S350 > 0.6). Cela montre que l’échantillon est principalement composé de surdensité de source rouge. En ajustant un corps noir modifié à 35K sur les données photométrique Herschel-SPIRE je montre que la distribution de redshift photométrique des sources piquent à z=2. Notre échantillon se compose donc de 11 sources lentillées et 217 potentiels amas de galaxies à redshift z~2. Ces potentiels amas de galaxies se compose d’en moyenne 9 sources dans 4.5’ de diamètre. Les sources individuelles ont des luminosités infrarouges d’environ 4.1012 Lsol ce qui correspond d’après Bell et al. 2003 à un taux de formation stellaire (SFR) de 700 Msol.yr-1. Cela mène pour les potentielles structures à une luminosité de 4.1013 Msol et un SFR de 7000 Msol.yr-1. Notre échantillon trace donc les structures denses du ciel à fort taux de formation stellaire. Cet échantillon sera donc clé dans la compréhension de la formation des structures et des étoiles à des redshifts autour de z=2. / Actual models and observations of the Universe agreed at large scale. But the formation of baryonic structures remains unknown. To constrain structure formation in the Universe, observatoins are needed at different redshift to see different evolution steps. Planck satellite gives an acces to objetcs in the redshift range z=2 to z=4. Thus we detect about 1200 extragalactic objects in 26% of the sky near galactic poles, candidates to be at high redshift. A sample of 228 sources is observed at higher sensibility and resolution than Planck with Herschel satellite. This lead to resolve ponctual Planck sources in several Herschel sources. So I identify three possible types of object : candidates sources of gravitationally amplified lenses, galaxy cluster candidates and alignement of sources along the line of sight. I find in the sample 11 sources amplified by gravitationnal lensing, some of the brightest of the submillimeter sky. Those have redshift between z=2.2 and z=3.6 (Canameras et al., 2015) and provide a zoom in the stellar formation of the far Universe. It let 217 overdensity of sources that I study. With their colour in Herschel data, I find an estimate of their density. 50% of Herschel fields have an overdensity greater than 10sigma using red sources colour selection (S250/S350 < 1.4 et S500/S350 > 0.6). This show that our ample is mainly composed of red overdensity. Fitting Herschel-SPIRE photometry with a modify black body at 35K, I show that the photmetric redshift distribution of Herschel sources peaks around z=2. Our sample is now composed of 11 lensed sources and 217 galaxy cluster candidates at z~2. These galaxy cluster candidates contain an average of 9 SPIRE sources in 4.5’ diameter beam. Individual sources have a luminosity distribution peaking at 4.1012 Lsun which leads to a star formation rate (SFR) of 700 Msun.yr-1 (Bell et al. 2003). This gives an estimate structure luminosity of 4.1013 Msun and an SFR of 7000 Msun.yr-1 assuming that sources are members of the same structure. Our sample traces dense structure at high star formation rate in the full sky. This sample will be a key in the comprehension of structure formation and star formation at redshift about z=2.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / Neste trabalho, estudamos as propriedades do transporte de partÃculas em sistemas mesoscÃpicos. Na primeira parte, usamos o modelo proposto anteriormente por Zapperi et al. (Phys. Rev. Lett. 86, 3622 (2001)) para descrever o transporte de partÃculas superamortecidas e interagentes no estado estacionÃrio, na presenÃa de um obstÃculo para o fluxo, e confinadas em um canal com largura da ordem do comprimento caracterÃstico do sistema. Com este modelo, obtivemos uma equaÃÃo diferencial de primeira ordem nÃo-linear, cuja soluÃÃo em 1D à capaz de descrever a densidade ao longo de um canal 2D para diferentes sistemas de partÃculas (e.g., vÃrtices em supercondutores, colÃides e pedestres, todos simulados por dinÃmica molecular) e diferentes tipos de obstÃculos (e.g., uma barreira de energia, um canal com uma constriÃÃo e uma rede de pinos no centro do canal). Observamos que este modelo pode ser usado para descrever o escoamento de qualquer sistema de partÃculas superamortecido, desde que as interaÃÃes entre elas possam alcanÃar distÃncias maiores que os primeiros vizinhos. Na segunda parte deste trabalho, estudamos o escoamento de partÃculas interagentes (nÃo necessariamente superamortecidas) confinadas por paredes assimÃtricas. Aqui o objetivo à descrever a dinÃmica de pedestres e a dinÃmica de vÃrtices em supercondutores. Em ambos os sistemas, as paredes assimÃtricas sÃo responsÃveis pela introduÃÃo de um sentido preferencial para o fluxo. No caso da dinÃmica de pedestres, estudamos as propriedades do sistema quando os pedestres andam em sentidos opostos. Verificamos que este confinamento induz uma ordem responsÃvel pela maximizaÃÃo do escoamento. Esta ordem pode ser destruÃda quando variamos a densidade, a velocidade, a razÃo entre a largura do canal e a sua rugosidade, o ruÃdo externo e a assimetria do canal. Verificamos tambÃm que as transiÃÃes de ordem-desordem neste sistema sÃo acompanhadas de metaestabilidades e ciclos de histerese. No caso de vÃrtices em supercondutores, verificamos que, para pequenos campos de comensurabilidade entre o nÃmero de "catracas" e o nÃmero de vÃrtices, o sistema apresenta mÃltiplas transiÃÃes de depinamento. / In this work we investigate the transport properties of particles in mesoscopic systems. In the first part, we use the model originally proposed by Zapperi et al. (Phys. Rev. Lett. 86, 3622 (2001)) to describe the steady-state transport of overdamped particles in the presence of an obstacle and confined to a channel with width of the order of the characteristic size of the system. With this model, we obtain a non-linear first-order differential equation, whose solution in 1D is capable to describe the behavior of the particle density along a 2D channel for different particle systems (e.g., superconducting vortices, colloids and pedestrians, all simulated with molecular dynamics) and obstacle types (e.g, one energy barrier, a channel constriction and a network of pinning centers). We observe that such a model can be used to represent the flow of any system of overdamped particles, as long as the interactions between them can reach a distance greater than only the first neighbors. In the second part of this work, we investigate the flow of interacting particles (not necessarily overdamped) confined to a channel of asymmetrical walls. Here the main objective is to describe through molecular dynamics techniques both the flow of pedestrians as well as the transport of superconducting vortices through irregular channels. In both cases, we observe that the asymmetry of the confining walls can induce a preferential direction to the flow. In the case of pedestrians, our results indicate that, when two groups of people move in opposite directions in a ratcheted type of corridor, this induced order is also responsible for flow maximization. This order can be destroyed, however, when we change the total number of particles in the system, their target speed, the amplitude of the external added noise or the degree of the asymmetry of the channel. We also observe that the order-disorder transitions in this system are usually followed by metastability and hysteresis cycles. In the case of superconducting vortices, multiple depinning transitions are observed when there is a small comensurability field between the number of ratchets in the channel and the number of particles (vortices) in the system.

Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / As equaÃÃes nÃo lineares de Fokker-Planck - EFPNL sÃo equaÃÃes diferenciais capazes de descrever macroscopicamente sistemas fÃsicos e quÃmicos que apresentam algum tipo de difusÃo anÃmala. Como exemplos de aplicaÃÃes de importÃncia cientÃfica e tecnolÃgica, podemos citar o processo de transporte em meios porosos, a dinÃmica de crescimento de superfÃcies, difusÃo de polÃmeros do tipo micelas quebrÃveis e dinÃmica de vÃrtices em supercondutores do tipo II. Para este Ãltimo, sabe-se que o movimento de vÃrtices causa dissipaÃÃo de energia, e a interaÃÃo entre eles pode ser representada por uma funÃÃo do tipo Bessel modificada. Portanto, no sentido de modelar vÃrtices em supercondutores, estudamos o movimento de partÃculas interagentes em regime de superamortecimento e em contato com um reservatÃrio tÃrmico a temperatura T, utilizando esse mesmo tipo de interaÃÃo para vÃrtices. Mostramos entÃo, por meio do formalismo das equaÃÃes nÃo lineares de Fokker-Planck, que hà uma associaÃÃo do sistema em estudo, no limite de temperatura T=0, com a estatÃstica generalizada de Tsallis. Para comprovar essa relaÃÃo direta utilizamos o conhecido teorema H e suas generalizaÃÃes, o qual permite uma relaÃÃo entre o funcional entrÃpico generalizado com uma famÃlia de EFPNL. Mostramos ainda que para temperaturas relativamente altas, o sistema deve ser melhor representado pela estatÃstica padrÃo de Boltzmann-Gibbs, pois a funÃÃo distribuiÃÃo de partÃculas, no estado estacionÃrio, tem a forma de uma gaussiana. AlÃm dos resultados analÃticos para a funÃÃo distribuiÃÃo, resultados numÃricos foram obtidos para o movimento superamortecido de partÃculas interagentes por meio de DinÃmica Molecular com a inclusÃo de um ruÃdo branco (aditivo), confirmando assim os resultados teÃricos. / The Fokker-Planck equations of nonlinear - EFPNL are differential equations able to describe macroscopic physical and chemical systems that have some type of anomalous diffusion. Examples of applications of scientific and technological importance, we may cite the case of transport in porous media, the growth dynamics of surfaces, diffusion of polymerlike breakable micelles and the dynamics of interacting vortices in type II superconductors. For the latter, it is known that the vortex motion causes power dissipation, and the interaction between them can be represented by a modified Bessel function type. Therefore, in order to model vortices in superconductors, we study the overdamped motion of interacting particles in contact with a thermal reservoir at temperature T, using the same type of interaction for vortices. We show, by means of the nonlinear Fokker-Planck equations formalism, that there is an association of the system under study, in the temperature limit T = 0, with the generalized Tsallis statistics. To prove this direct relation, we use the well-known H theorem and its generalizations, which allows an unambiguous relationship between the generalized entropy function with EFPNL. We show that even for relatively high temperatures, the system should be better represented by the Boltzmann-Gibbs standard statistical, since the distribution function of particles in the steady state, has the form of a Gaussian. In addition to the analytical results for the distribution function, numerical results for overdamped motion of interacting particles were obtained by molecular dynamics with the addition of white noise (additive) thus confirming the theoretical results.