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Register a new userBoltzmann-type equations for multi-agent systems with label switching
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In this paper, we propose a Boltzmann-type kinetic description of mass-varying interacting multi-agent systems. Our agents are characterised by a microscopic state, which changes due to their mutual interactions, and by a label, which identifies a group to which they belong. Besides interacting within and across the groups, the agents may change label according to a state-dependent Markov-type jump process. We derive general kinetic equations for the joint interaction/label switch processes in each group. For prototypical birth/death dynamics, we characterise the transient and equilibrium kinetic distributions of the groups via a Fokker-Planck asymptotic analysis. Then we introduce and analyse a simple model for the contagion of infectious diseases, which takes advantage of the joint interaction/label switch processes to describe quarantine measures.
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We extend the model of rational bubbles of Blanchard and of Blanchard and Watson to arbitrary dimensions d: a number d of market time series are made linearly interdependent via d times d stochastic coupling coefficients. We first show that the no-arbitrage condition imposes that the non-diagonal impacts of any asset i on any other asset j different from i has to vanish on average, i.e., must exhibit random alternative regimes of reinforcement and contrarian feedbacks. In contrast, the diagonal terms must be positive and equal on average to the inverse of the discount factor. Applying the results of renewal theory for products of random matrices to stochastic recurrence equations (SRE), we extend the theorem of Lux and Sornette (cond-mat/9910141) and demonstrate that the tails of the unconditional distributions associated with such d-dimensional bubble processes follow power laws (i.e., exhibit hyperbolic decline), with the same asymptotic tail exponent mu<1 for all assets. The distribution of price differences and of returns is dominated by the same power-law over an extended range of large returns. This small value mu<1 of the tail exponent has far-reaching consequences in the non-existence of the means and variances. Although power-law tails are a pervasive feature of empirical data, the numerical value mu<1 is in disagreement with the usual empirical estimates mu approximately equal to 3. It, therefore, appears that generalizing the model of rational bubbles to arbitrary dimensions does not allow us to reconcile the model with these stylized facts of financial data. The non-stationary growth rational bubble model seems at present the only viable solution (see cond-mat/0010112).
In recent years, instanton calculus has successfully been employed to estimate tail probabilities of rare events in various stochastic dynamical systems. Without further corrections, however, these estimates can only capture the exponential scaling. In this paper, we derive a general, closed form expression for the leading prefactor contribution of the fluctuations around the instanton trajectory for the computation of probability density functions of general observables. The key technique is applying the Gelfand-Yaglom recursive evaluation method to the suitably discretized Gaussian path integral of the fluctuations, in order to obtain matrix evolution equations that yield the fluctuation determinant. We demonstrate agreement between these predictions and direct sampling for examples motivated from turbulence theory.
This paper deals with solutions of the nonlinear Boltzmann equation for spatially uniform freely cooling inelastic Maxwell models for large times and for large velocities, and the nonuniform convergence to these limits. We demonstrate how the velocity distribution approaches in the scaling limit to a similarity solution with a power law tail for general classes of initial conditions and derive a transcendental equation from which the exponents in the tails can be calculated. Moreover on the basis of the available analytic and numerical results for inelastic hard spheres and inelastic Maxwell models we formulate a conjecture on the approach of the velocity distribution function to a scaling form.
We study the response to perturbations in the thermodynamic limit of a network of coupled identical agents undergoing a stochastic evolution which, in general, describes non-equilibrium conditions. All systems are nudged towards the common centre of mass. We derive Kramers-Kronig relations and sum rules for the linear susceptibilities obtained through mean field Fokker-Planck equations and then propose corrections relevant for the macroscopic case, which incorporates in a self-consistent way the effect of the mutual interaction between the systems. Such an interaction creates a memory effect. We are able to derive conditions determining the occurrence of phase transitions specifically due to system-to-system interactions. Such phase transitions exist in the thermodynamic limit and are associated with the divergence of the linear response but are not accompanied by the divergence in the integrated autocorrelation time for a suitably defined observable. We clarify that such endogenous phase transitions are fundamentally different from other pathologies in the linear response that can be framed in the context of critical transitions. Finally, we show how our results can elucidate the properties of the Desai-Zwanzig model and of the Bonilla-Casado-Morillo model, which feature paradigmatic equilibrium and non-equilibrium phase transitions, respectively.
The existence of power-law distributions is only a first requirement in the validation of the critical behavior of a system. Long-range spatio-temporal correlations are fundamental for the spontaneous neuronal activity to be the expression of a system acting close to a critical point. This chapter focuses on temporal correlations and avalanche dynamics in the spontaneous activity of cortex slice cultures and in the resting fMRI BOLD signal. Long-range correlations are investigated by means of the scaling of power spectra and of Detrended Fluctuations Analysis. The existence of 1/f decay in the power spectrum, as well as of power-law scaling in the root mean square fluctuations function for the appropriate balance of excitation and inhibition suggests that long-range temporal correlations are distinctive of healthy brains. The corresponding temporal organization of neuronal avalanches can be dissected by analyzing the distribution of inter-event times between successive events. In rat cortex slice cultures this distribution exhibits a non-monotonic behavior, not usually found in other natural processes. Numerical simulations provide evidences that this behavior is a consequence of the alternation between states of high and low activity, leading to a dynamic balance between excitation and inhibition that tunes the system at criticality. In this scenario, inter-times show a peculiar relation with avalanche sizes, resulting in a hierarchical structure of avalanche sequences. Large avalanches correspond to low-frequency oscillations, and trigger cascades of smaller avalanches that are part of higher frequency rhythms. The self-regulated balance of excitation and inhibition observed in cultures is confirmed at larger scales, i.e. on fMRI data from resting brain activity, and appears to be closely related to critical features of avalanche activity.
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