Persistence Exponent Research Articles

Longest excursion of fractional Brownian motion: Numerical evidence of non-Markovian effects

We study, using exact numerical simulations, the statistics of the longest excursion l(max)(t) up to time t for the fractional Brownian motion with Hurst exponent 0<H<1. We show that in the large t limit, <l(max)(t)> proportional to variantQ(infinity)t, where Q(infinity) identical with Q(infinity)(H) depends continuously on H. These results are compared with exact analytical results for a renewal process with an associated persistence exponent theta=1-H. This comparison shows that Q(infinity)(H) carries the clear signature of non-Markovian effects for H not equal 1/2. The preasymptotic behavior of <l(max)(t)> is also discussed.

Universality of Persistence Exponents in Two-Dimensional Ostwald Ripening

We measured persistence exponents theta(phi) of Ostwald ripening in two dimensions, as a function of the area fraction phi occupied by coarsening domains. The values of theta(phi) in two systems, succinonitrile and brine, quenched to their liquid-solid coexistence region, compare well with one another, providing compelling evidence for the universality of the one-parameter family of exponents. For small phi, theta(phi) approximately = 0.39phi, as predicted by a model that assumes no correlations between evolving domains. These constitute the first measurements of persistence exponents in the case of phase transitions with a conserved order parameter.

PERSISTENCE PROBABILITY ANALYZED ON THE TAIWAN STOCK MARKET

We report a numerical study of the Taiwan stock market, in which we used three data sources: the daily Taiwan stock exchange index (TAIEX) from January 1983 to May 2006, the daily OTC index from January 1995 to May 2006, and the one-min intraday data from February 2000 to December 2003. Our study is based on numerical estimates of persistence exponent θp, Hurst exponent H2, and fluctuation exponent h2. We also discuss the results concerning persistence probability P(t), qth-order price–price correlation function Gq(t), and qth-order normalized fluctuation function fq(t) among these indices.

Local persistence in directed percolation

We reconsider the problem of local persistence in directed site percolation. Wepresent improved estimates of the exponent of persistence in all dimensions from1+1 to7+1, obtained using new algorithms and using improved implementationsof existing ones. We verify the strong corrections to scaling for2+1 and3+1 dimensions found in previous analyses, but we show that scaling ismuch better satisfied for very large and very small dimensions. Ford>4 (d is the spatial dimension), the persistence exponent depends non-trivially ond, in qualitative agreement with the non-universal values calculated recently by Fuchs et al (2008J. Stat. Mech. P04015). These results are mainly based on efficient simulations of clusters evolvingunder the time reversed dynamics with a permanently active site and a particular survivalcondition discussed by Fuchs et al. These simulations suggest also a new critical exponentζ whichdescribes the growth of these clusters conditioned on survival, and which turns out to be the same as theexponent, η+δ in standard notation, of surviving clusters under the standard DP evolution.

Stochastic growth equations on growing domains

The dynamics of linear stochastic growth equations on growing substratesis studied. The substrate is assumed to grow in time following the power lawtγ, where thegrowth index γ is an arbitrary positive number. Two different regimes are clearly identified: for smallγ the interface becomes correlated, and the dynamics is dominated by diffusion; for largeγ the interface stays uncorrelated, and the dynamics is dominated by dilution. In this secondregime, for short time intervals and spatial scales the critical exponents correspondingto the non-growing substrate situation are recovered. For long time differencesor large spatial scales the situation is different. Large spatial scales show theuncorrelated character of the growing interface. Long time intervals are studied bymeans of the auto-correlation and persistence exponents. It becomes apparent thatdilution is the mechanism by which correlations are propagated in this secondcase.

Can Ising model and/or QKPZ equation properly describe reactive-wetting interface dynamics?

Abstract The reactive-wetting process, e.g. spreading of a liquid droplet on a reactive substrate is known as a complex, non-linear process with high sensitivity to minor fluctuations. The dynamics and geometry of the interface (triple line) between the materials is supposed to shed light on the main mechanisms of the process. We recently studied a room temperature reactive-wetting system of a small (∼ 150 μm) Hg droplet that spreads on a thin (∼ 4000 Å) Ag substrate. We calculated the kinetic roughening exponents (growth and roughness), as well as the persistence exponent of points on the advancing interface. In this paper we address the question whether there exists a well-defined model to describe the interface dynamics of this system, by performing two sets of numerical simulations. The first one is a simulation of an interface propagating according to the QKPZ equation, and the second one is a landscape of an Ising chain with ferromagnetic interactions in zero temperature. We show that none of these models gives a full description of the dynamics of the experimental reactivewetting system, but each one of them has certain common growth properties with it. We conjecture that this results from a microscopic behavior different from the macroscopic one. The microscopic mechanism, reflected by the persistence exponent, resembles the Ising behavior, while in the macroscopic scale, exemplified by the growth exponent, the dynamics looks more like the QKPZ dynamics.

Asymptotic Behavior of Self-Affine Processes in Semi-Infinite Domains

We propose to model the stochastic dynamics of a polymer passing through a pore (translocation) by means of a fractional Brownian motion and study its behavior in the presence of an absorbing boundary. Based on scaling arguments and numerical simulations, we present a conjecture that provides a link between the persistence exponent theta and the Hurst exponent H of the process, thus shedding light on the spatial and temporal features of translocation. Furthermore, we show that this conjecture applies more generally to a broad class of self-affine processes undergoing anomalous diffusion in bounded domains, and we discuss some significant examples.

Zero-temperature dynamics in the two-dimensional axial next-nearest-neighbor Ising model

We investigate the dynamics of a two-dimensional axial next-nearest-neighbor Ising model following a quench to zero temperature. The Hamiltonian is given by H= -J_(0) summation operator(L)_(i,j=1)S_(i,j)S_(i+1,j)-J_(1)summation operator_(i,j=1)(S_{i,j}S_{i,j+1}-kappaS_{i,j}S_{i,j+2}) . For kappa<1 , the system does not reach the equilibrium ground state but slowly evolves to a metastable state. For kappa>1 , the system shows a behavior similar to that of the two-dimensional ferromagnetic Ising model in the sense that it freezes to a striped state with a finite probability. The persistence probability shows algebraic decay here with an exponent theta=0.235+/-0.001 while the dynamical exponent of growth z=2.08+/-0.01 . For kappa=1 , the system belongs to a completely different dynamical class; it always evolves to the true ground state with the persistence and dynamical exponent having unique values. Much of the dynamical phenomena can be understood by studying the dynamics and distribution of the number of domain walls. We also compare the dynamical behavior to that of a Ising model in which both the nearest and next-nearest-neighbor interactions are ferromagnetic.

Crossing intervals of non-Markovian Gaussian processes

We review the properties of time intervals between the crossings at a level M of a smooth stationary Gaussian temporal signal. The distribution of these intervals and the persistence are derived within the independent interval approximation (IIA). These results grant access to the distribution of extrema of a general Gaussian process. Exact results are obtained for the persistence exponents and the crossing interval distributions, in the limit of large |M|. In addition, the small-time behavior of the interval distributions and the persistence is calculated analytically, for any M. The IIA is found to reproduce most of these exact results, and its accuracy is also illustrated by extensive numerical simulations applied to non-Markovian Gaussian processes appearing in various physical contexts.

Real Roots of Random Polynomials and Zero Crossing Properties of Diffusion Equation

We study various statistical properties of real roots of three different classes of random polynomials which recently attracted a vivid interest in the context of probability theory and quantum chaos. We first focus on gap probabilities on the real axis, i.e. the probability that these polynomials have no real root in a given interval. For generalized Kac polynomials, indexed by an integer d, of large degree n, one finds that the probability of no real root in the interval [0,1] decays as a power law n^{-\theta(d)} where \theta(d) > 0 is the persistence exponent of the diffusion equation with random initial conditions in spatial dimension d. For n \gg 1 even, the probability that they have no real root on the full real axis decays like n^{-2(\theta(2)+\theta(d))}. For Weyl polynomials and Binomial polynomials, this probability decays respectively like \exp{(-2\theta_{\infty}} \sqrt{n}) and \exp{(-\pi \theta_{\infty} \sqrt{n})} where \theta_{\infty} is such that \theta(d) = 2^{-3/2} \theta_{\infty} \sqrt{d} in large dimension d. We also show that the probability that such polynomials have exactly k roots on a given interval [a,b] has a scaling form given by \exp{(-N_{ab} \tilde \phi(k/N_{ab}))} where N_{ab} is the mean number of real roots in [a,b] and \tilde \phi(x) a universal scaling function. We develop a simple Mean Field (MF) theory reproducing qualitatively these scaling behaviors, and improve systematically this MF approach using the method of persistence with partial survival, which in some cases yields exact results. Finally, we show that the probability density function of the largest absolute value of the real roots has a universal algebraic tail with exponent {-2}. These analytical results are confirmed by detailed numerical computations.

Local persistence in the directed percolation universality class

We revisit the problem of local persistence in directed percolation,reporting improved estimates of the persistence exponent in1+1 dimensions, discovering strong corrections to scaling in higher dimensions, and investigating the meanfield limit. Moreover, we examine a graded persistence probability that a site does not flip more thanm times and demonstrate how local persistence can be studied in seed simulations. Finally,the problem of spatial (as opposed to temporal) persistence is investigated.

Global persistence exponent in critical dynamics: Finite-size-induced crossover

We extend the definition of a global order parameter to the case of a critical system confined between two infinite parallel plates separated by a distance L. For a quench to the critical point we study the persistence property of the global order parameter and show that there is a crossover behavior characterized by a nonuniversal exponent which depends on the ratio of the system size to a dynamic length scale.

Persistence and financial markets

The persistence phenomenon is studied in a financial context by using a novel mapping of the time evolution of the values of shares in a portfolio onto Ising spins. The method is applied to historical data from the London Financial Times Stock Exchange 100 index (FTSE 100) over an arbitrarily chosen period. By following the time dependence of the spins, we find evidence for a power law decay of the proportion of shares that remain either above or below their ‘starting’ values. As a result, we estimate a persistence exponent for the underlying financial market to be ≈ 0.5 . Preliminary results from computer simulations on persistence in the economic dynamics of a toy model appear to reproduce the behaviour observed in real markets.

Spatial first-passage statistics ofAl∕Si(111)−(3×3)step fluctuations

Spatial step edge fluctuations on a multicomponent surface of Al/Si(111)-(square root 3 x square root 3) were measured via scanning tunneling microscopy over a temperature range of 720-1070 K, for step lengths of L=65-160 nm. Even though the time scale of fluctuations of steps on this surface varies by orders of magnitude over the indicated temperature range, measured first-passage spatial persistence and survival probabilities are temperature independent. The power law functional form for spatial persistence probabilities is confirmed and the symmetric spatial persistence exponent is measured to be theta=0.498+/-0.062 in agreement with the theoretical prediction theta=1/2. The survival probability is found to scale directly with y/L, where y is the distance along the step edge. The form of the survival probabilities agrees quantitatively with the theoretical prediction, which yields exponential decay in the limit of small y/L. The decay constant is found experimentally to be y(s)/L=0.076+/-0.033 for y/L<or=0.2.

Probability Distribution of the Maximum of a Smooth Temporal Signal

We present an approximate calculation for the distribution of the maximum of a smooth stationary temporal signal X(t). As an application, we compute the persistence exponent associated with the probability that the process remains below a nonzero level M. When X(t) is a Gaussian process, our results are expressed explicitly in terms of the two-time correlation function, f(t)=X(0)X(t).

Global persistence exponent of the double-exchange model

We obtained the global persistence exponent for a continuous spin model on the simple cubic lattice with double-exchange interaction by using two different methods. First, we estimated the exponent theta(g) by following the time evolution of probability P(t) that the order parameter of the model does not change its sign up to time t[P(t) approximately t(-theta(g)]. Afterwards, that exponent was estimated through the scaling collapse of the universal function L(theta(g)(z)P(t) for different lattice sizes. Our results for both approaches are in very good agreement with each other.

Effect of shear on persistence in coarsening systems

We analytically study the effect of a uniform shear flow on the persistence properties of coarsening systems. The study is carried out within the anisotropic Ohta-Jasnow-Kawasaki (OJK) approximation for a system with nonconserved scalar order parameter. We find that the persistence exponent theta has a nontrivial value: theta = 0.5034 in space dimension d = 3, and theta = 0.2406 for d = 2, the latter being exactly twice the value found for the unsheared system in d = 1. We also find that the autocorrelation exponent lambda is affected by shear in d = 3 but not in d = 2.

Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes

We consider the class of real-valued stochastic processes indexed on a compact subset of R or R 2 with almost surely absolutely continuous sample paths. We obtain an implicit formula for the distributions of their maxima. The main result is the derivation of numerical bounds that turn out to be very accurate, in the Gaussian case, for levels that are not large. We also present the first explicit upper bound for the distribution tail of the maximum in the two-dimensional Gaussian framework. Numerical comparisons are performed with known tools such as the Rice upper bound and expansions based on the Euler characteristic. We deal numerically with the determination of the persistence exponent.

Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes

We consider the class of real-valued stochastic processes indexed on a compact subset of R or R2 with almost surely absolutely continuous sample paths. We obtain an implicit formula for the distributions of their maxima. The main result is the derivation of numerical bounds that turn out to be very accurate, in the Gaussian case, for levels that are not large. We also present the first explicit upper bound for the distribution tail of the maximum in the two-dimensional Gaussian framework. Numerical comparisons are performed with known tools such as the Rice upper bound and expansions based on the Euler characteristic. We deal numerically with the determination of the persistence exponent.

Persistence in financial markets

Persistence is studied in a financial context by mapping the time evolution of the values of the shares quoted on the London Financial Times Stock Exchange 100 index (FTSE 100) onto Ising spins. By following the time dependence of the spins, we find evidence for power law decay of the proportion of shares that remain either above or below their 'starting' values. As a result, we estimate a persistence exponent for the underlying financial market to be θf∼0.5.