Für mikroskopische Teilchen, die sich durch eine überdämpfte Fockker-Planck-Gleichung beschreiben lassen, werden thermodynamische Größen definiert. Es wird ein Ausdruck für die irreversible Arbeit berechnet. Weiterhin wird ein Kreisprozess konstruiert und für diesen der Wirkungsrad am Punkt maximaler Leistung berechnet. Als Spezialfall wird dann ein Teilchen in einem harmonischen Potential betrachtet. Alle Ergebnisse stammen bereits aus einer Veröffentlichung, es werden jedoch hier alle Berechnungen angegeben.

It is commonly accepted that a starting point of the science of diffusion is the phenomenological diffusion equation postulated by German physiologist Adolf Fick inspired by experiments on diffusion by Thomas Graham and Robert Brown. Fick’s diffusion equation has been interpreted decades later by Albert Einstein and Marian Smoluchowski. Here we will show that the theory of diffusion has its elegant mathematical foundations formulated three decades before Fick by French mathematician Augustin Cauchy (~1822). The diffusion equation is straightforward consequence of his model of the elastic solid - the classical balance equations for isotropic, elastic crystal. Basing on the Cauchy model and using the quaternion algebra we present a rigorous derivation of the quaternion form of the diffusion equation. The fundamental consequences of all derived equations and relations for physics, chemistry and the future prospects are presented.

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When modeling interest rates, using strong formulations of underlying differential equations is prone to bad numerical approximations and high computational costs, due to close to non-smoothness in the probability density function of the interest rate. To circumvent these problems, a weak formulation of the Fokker–Planck equation using Gaussian radial basis functions is suggested. This approach is used in a parameter estimation process for two interest rate models: the Vasicek model and the Cox–Ingersoll–Ross model. In this thesis, such an approach is shown to yield good numerical approximations at low computational costs.

Ziel der vorliegenden Arbeit ist es, das Preisach-Modell bezüglich stochastischer äußerer Felder und temperaturbezogener Aspekte zu untersuchen. Das phänomenologische Preisach-Modell wird oft erfolgreich angewendet, um Systeme mit Hysterese zu beschreiben. Im ersten Teil der Arbeit wird die Antwort des Preisach-Modells auf stochastische äußere Felder untersucht. Hier liegt das Augenmerk hauptsächlich auf der Autokorrelation; sie dient dazu den Einfluss des hysteretischen Gedächtnisses zu quantifizieren. Mit analytischen Methoden wird gezeigt, dass sich ein Langzeitgedächtnis, sichtbar in der Autokorrelation der Systemantwort, entwickeln kann, selbst wenn das treibende Feld unkorreliert ist. Im Anschluss werden diese Resultate, m.H. von Simulationen, auf äußere Felder ausgeweitet, die selbst Korrelationen aufweisen können. Der zweite Teil der Arbeit befasst sich mit dem Einfluss einer endlichen Temperatur auf das Preisach-Modell. Es werden unterschiedliche Methoden besprochen, wie das Nichtgleichgewichtsmodell in seiner mikromagnetischen Interpretation mit Temperatur als Gleichgewichtseigenschaft verknüpft werden kann. Eine Formulierung wird genutzt, um die Magnetisierung von Nickelnanopartikeln in einer Fullerenmatrix zu simulieren und mit Experimenten zu vergleichen. Des Weiteren wird die Relaxationsdynamik des Gedächtnisses des Preisach-Modells bei endlichen Temperaturen untersucht. / The aim of this thesis is to investigate the Preisach model in regard to stochastically driving and temperature-related aspects. The Preisach model is a phenomenological model for systems with hysteresis which is often successfully applied. Hysteresis is a widespread phenomenon which is observed in nature and the key feature of certain technological applications. Further, it contributes to phenomena of interest in social science and economics as well. Prominent examples are the magnetization of ferromagnetic materials in an external magnetic field or the adsorption-desorption hysteresis observed in porous media. Hysteresis involves the development of a hysteresis memory, and multistability in the interrelations between external driving fields and system response. In the first part, we mainly investigate the response of Preisach hysteresis models driven by stochastic input processes with regard to autocorrelation functions to quantify the influence of the system’s memory. Using rigorous methods, it is shown that the development of a hysteresis memory is reflected in the possibility of long-time tails in the autocorrelation functions, even for uncorrelated driving fields. In the case of uncorrelated driving, these long-time tails in the autocorrelations of the system’s response are determined only by the tails of the involved densities. They will be observed if there are broad Preisach densities assigning a high weight to elementary loops of large width and narrow input densities such that rare extreme events of the input time series contribute significantly to the output for a long period of time. Afterwards, these results are extended by simulations to driving fields which themselves show correlations. It is shown that the autocorrelation of the output does not decay faster than the autocorrelation of the input process. Further, there is a possibility that long-term memory in the hysteretic response is more pronounced in the case of uncorrelated driving than in the case of correlated driving. The behavior of the output probability distribution at the saturation values is quite universal. It is not affected by the presence of correlations and allows conclusions whether the input density is much more narrow than the Preisach density or not. Moreover, the existence of effective Preisach densities is shown which define equivalence classes of systems of input and Preisach densities which lead to realizations of the same output variable. The asymptotic behavior of an effective Preisach density determines the asymptotic correlation decay of the system’s response in the case of uncorrelated driving. In the second part, temperature-related effects are considered. It is reviewed how the non-equilibrium Preisach model in its micromagnetic picture can be related to temperature within the framework of extended irreversible thermodynamics. The irreversible response of a ferromagnetic material, namely, Nickel nanoparticles in a fullerene matrix, is simulated. The model includes superparamagnetism where ferromagnetism breaks down at temperatures lower than the Curie temperature and the results are compared to experimental data. Furthermore, we adapt known results for the thermal relaxation of the system’s memory in the form of a front propagation in the Preisach plane derived basically from solving a master equation and by the use of a contradictory assumption. A closer look is taken at short time scales which dissolves the contradiction and shows that the known results apply, taking into account the fact that the dividing line propagation starts with an additional delay time depending on the front coordinates in the Preisach plane. Additionally, it is outlined how thermal relaxation behavior in the Preisach model of hysteresis can be studied using a Fokker-Planck equation. The latter is solved analytically in the non-hysteretic limit using eigenfunction methods. The results indicate a change in the relaxation behavior, especially on short time scales.

Ziel der vorliegenden Arbeit ist es, das Preisach-Modell bezüglich stochastischer äußerer Felder und temperaturbezogener Aspekte zu untersuchen. Das phänomenologische Preisach-Modell wird oft erfolgreich angewendet, um Systeme mit Hysterese zu beschreiben. Im ersten Teil der Arbeit wird die Antwort des Preisach-Modells auf stochastische äußere Felder untersucht. Hier liegt das Augenmerk hauptsächlich auf der Autokorrelation; sie dient dazu den Einfluss des hysteretischen Gedächtnisses zu quantifizieren. Mit analytischen Methoden wird gezeigt, dass sich ein Langzeitgedächtnis, sichtbar in der Autokorrelation der Systemantwort, entwickeln kann, selbst wenn das treibende Feld unkorreliert ist. Im Anschluss werden diese Resultate, m.H. von Simulationen, auf äußere Felder ausgeweitet, die selbst Korrelationen aufweisen können. Der zweite Teil der Arbeit befasst sich mit dem Einfluss einer endlichen Temperatur auf das Preisach-Modell. Es werden unterschiedliche Methoden besprochen, wie das Nichtgleichgewichtsmodell in seiner mikromagnetischen Interpretation mit Temperatur als Gleichgewichtseigenschaft verknüpft werden kann. Eine Formulierung wird genutzt, um die Magnetisierung von Nickelnanopartikeln in einer Fullerenmatrix zu simulieren und mit Experimenten zu vergleichen. Des Weiteren wird die Relaxationsdynamik des Gedächtnisses des Preisach-Modells bei endlichen Temperaturen untersucht. / The aim of this thesis is to investigate the Preisach model in regard to stochastically driving and temperature-related aspects. The Preisach model is a phenomenological model for systems with hysteresis which is often successfully applied. Hysteresis is a widespread phenomenon which is observed in nature and the key feature of certain technological applications. Further, it contributes to phenomena of interest in social science and economics as well. Prominent examples are the magnetization of ferromagnetic materials in an external magnetic field or the adsorption-desorption hysteresis observed in porous media. Hysteresis involves the development of a hysteresis memory, and multistability in the interrelations between external driving fields and system response. In the first part, we mainly investigate the response of Preisach hysteresis models driven by stochastic input processes with regard to autocorrelation functions to quantify the influence of the system’s memory. Using rigorous methods, it is shown that the development of a hysteresis memory is reflected in the possibility of long-time tails in the autocorrelation functions, even for uncorrelated driving fields. In the case of uncorrelated driving, these long-time tails in the autocorrelations of the system’s response are determined only by the tails of the involved densities. They will be observed if there are broad Preisach densities assigning a high weight to elementary loops of large width and narrow input densities such that rare extreme events of the input time series contribute significantly to the output for a long period of time. Afterwards, these results are extended by simulations to driving fields which themselves show correlations. It is shown that the autocorrelation of the output does not decay faster than the autocorrelation of the input process. Further, there is a possibility that long-term memory in the hysteretic response is more pronounced in the case of uncorrelated driving than in the case of correlated driving. The behavior of the output probability distribution at the saturation values is quite universal. It is not affected by the presence of correlations and allows conclusions whether the input density is much more narrow than the Preisach density or not. Moreover, the existence of effective Preisach densities is shown which define equivalence classes of systems of input and Preisach densities which lead to realizations of the same output variable. The asymptotic behavior of an effective Preisach density determines the asymptotic correlation decay of the system’s response in the case of uncorrelated driving. In the second part, temperature-related effects are considered. It is reviewed how the non-equilibrium Preisach model in its micromagnetic picture can be related to temperature within the framework of extended irreversible thermodynamics. The irreversible response of a ferromagnetic material, namely, Nickel nanoparticles in a fullerene matrix, is simulated. The model includes superparamagnetism where ferromagnetism breaks down at temperatures lower than the Curie temperature and the results are compared to experimental data. Furthermore, we adapt known results for the thermal relaxation of the system’s memory in the form of a front propagation in the Preisach plane derived basically from solving a master equation and by the use of a contradictory assumption. A closer look is taken at short time scales which dissolves the contradiction and shows that the known results apply, taking into account the fact that the dividing line propagation starts with an additional delay time depending on the front coordinates in the Preisach plane. Additionally, it is outlined how thermal relaxation behavior in the Preisach model of hysteresis can be studied using a Fokker-Planck equation. The latter is solved analytically in the non-hysteretic limit using eigenfunction methods. The results indicate a change in the relaxation behavior, especially on short time scales.

Cette thèse traite des fonctionnelles exponentielles du mouvement brownien et porte en particulier sur des calculs explicites de prix de bonds zéro-coupon associés au modèle de taux d'intérêt de Dothan. En utilisant des méthodes de noyaux de la chaleur et de résolution d'équations de Fokker-Planck, nous donnons des formules explicites de densités de probabilités ou de leurs transformées de Laplace. Les différentes formules intégrales obtenues complètent celles de l'article original "On the Term Structure of Interest Rates" (L. U. Dothan). La méthode utilisée est directe et implique notamment une nouvelle représentation intégrale pour le module au carré de la fonction Gamma. Nous étudions ensuite les applications à la physique et aux mathématiques financières des résultats obtenus pour les fonctionnelles périodiques et hyperboliques du mouvement brownien. Nous traitons aussi de calculs de sensibilités d'options par le calcul de Malliavin. Nous donnons des expressions explicites de l'indicateur delta pour des prix d'options asiatiques et des obligations reposant sur des taux courts traités dans la première partie de la thèse.

Stochastic models describing how interacting individuals give rise to collective behaviour have become a widely used tool across disciplines—ranging from biology to physics to social sciences. Continuum population-level models based on partial differential equations for the population density can be a very useful tool (when, for large systems, particle-based models become computationally intractable), but the challenge is to predict the correct macroscopic description of the key attributes at the particle level (such as interactions between individuals and evolution rules). In this thesis we consider the simple class of models consisting of diffusive particles with short-range interactions. It is relevant to many applications, such as colloidal systems and granular gases, and also for more complex systems such as diffusion through ion channels, biological cell populations and animal swarms. To derive the macroscopic model of such systems, previous studies have used ad hoc closure approximations, often generating errors. Instead, we provide a new systematic method based on matched asymptotic expansions to establish the link between the individual- and the population-level models. We begin by deriving the population-level model of a system of identical Brownian hard spheres. The result is a nonlinear diffusion equation for the one-particle density function with excluded-volume effects enhancing the overall collective diffusion rate. We then expand this core problem in several directions. First, for a system with two types of particles (two species) we obtain a nonlinear cross-diffusion model. This model captures both alternative notions of diffusion, the collective diffusion and the self-diffusion, and can be used to study diffusion through obstacles. Second, we study the diffusion of finite-size particles through confined domains such as a narrow channel or a Hele–Shaw cell. In this case the macroscopic model depends on a confinement parameter and interpolates between severe confinement (e.g., a single- file diffusion in the narrow channel case) and an unconfined situation. Finally, the analysis for diffusive soft spheres, particles with soft-core repulsive potentials, yields an interaction-dependent non-linear term in the diffusion equation.

This thesis considers two areas of research in non-equilibrium soft matter at the mesoscale. In the first part we introduce active colloids in the context of active matter and focus on the particular case of phoretic colloids. The general theory of phoresis is presented along with an expression for the phoretic velocity of a colloid and its rotational diffusion in two and three dimensions. We introduce a model for thermally active colloids that absorb light and emit heat and propel through thermophoresis. Using this model we develop the equations of motion for their collective dynamics and consider excluded volume through a lattice gas formalism. Solutions to the thermoattractive collective dynamics are studied in one dimension analytically and numerically. A few numerical results are presented for the collective dynamics in two dimensions. We simulate an unconfined system of thermally active colloids under directed illumination with simple projection based geometric optics. This system self-organises into a comet-like swarm and exhibits a wide range of non- equilibrium phenomena. In the second part we review the background of polymer translocation, including key experiments, theoretical progress and simulation studies. We present, discuss and use a common model to investigate the potential of patterned nanopores for stochastic sensing and identification of polynucleotides and other heteropolymers. Three pore patterns are characterised in terms of the response of a homopolymer with varying attractive affinity. This is extended to simple periodic block co-polymer heterostructures and a model device is proposed and demonstrated with two stochastic sensing algorithms. We find that mul- tiple sequential measurements of the translocation time is sufficient for identification with high accuracy. Motivated by fluctuating biological channels and the prospect of frequency based selectivity we investigate the response of a homopolymer through a pore that has a time dependent geometry. We show that a time dependent mobility can capture many features of the frequency response.