#Fluid #Stochastic #Simulation

Fully nonlinear dynamics of stochastic thin-film dewetting

Authors: S. Nesic, R. Cuerno, E. Moro, and L. Kondic Journal: Physical Review E 92, 061002(R) LINK | PDF Abstract: The spontaneous formation of droplets via dewetting of a thin fluid film from a solid substrate allows materials nanostructuring. Often, it is crucial to be able to control the evolution, and to produce patterns characterized by regularly spaced droplets. While thermal fluctuations are expected to play a role in the dewetting process, their relevance has remained poorly understood, particularly during the nonlinear stages of evolution that involve droplet formation. ...

#humans #marketing #simulation #stochastic #viral

The speed and reach of forwarded emails, rumors, and hoaxes in electronic social networks

We have just published an experimental/theoretical work on the speed of information diffusion in social networks in Physical Review Letters. Specifically we have studied the impact of the heterogeneity of human activity in propagation of emails, rumors, hoaxes, etc. Tracking email marketing campaigns, executed by IBM Corporation in 11 European countries, we were able to compare their viral propagation with our theory (see below the campaigns details). The results are very simple. ...

#Agents #Complexity #Simulation #Stock Market #Strategy

Specialization of strategies and herding behavior of trading firms in a financial market

Authors: Fabrizio Lillo, Esteban Moro, Gabriella Vaglica y Rosario Mantegna Journal: New Journal of Physics 10 (2008) 043019 LINK arXiv Abstract: Agent-based models of financial markets usually make assumptions about agent’s preferred stylized strategies. Empirical validations of these assumptions have not been performed so far on a full-market scale. Here we present a comprehensive study of the resulting strategies followed by the firms which are members of the Spanish Stock Exchange. ...

#brownian motion #kolmogorov #simulation #stochastic #wiener

Writing bad letters of recommendation: the story of Bachelier and Lévy

Take a coin and toss it a number \(N\) of times in a time interval of duration \(T\). Suppose that every time you get head you win \(a\) euros and that you lose the same amount of money when you get tail. Then your capital is a random process with ups and dows like this: This process is a stochastic process usually called “Random Walk” and its properties depend on the parameters $N, a $ and \(T\). ...

#Fluid #Stochastic Differential Equation #Simulation

Spreading of Viscous Fluid Drops on a Solid Substrate Assisted by Thermal Fluctuations

Authors: Benny Davidovitch, Esteban Moro, and Howard A. Stone Journal: Physical Review Letters 95, 244505 (2005). LINK Abstract: We study the spreading of viscous drops on a solid substrate, taking into account the effects of thermal fluctuations in the fluid momentum. A nonlinear stochastic lubrication equation is derived and studied using numerical simulations and scaling analysis. We show that asymptotically spreading drops admit self-similar shapes, whose average radii can increase at rates much faster than these predicted by Tanner’s law. ...

#Stochastic Differential Equation #Simulation #Ito #Finance #Stock Market

Boundary preserving semi-analytical numerical algorithms for stochastic differential equations

Authors: Esteban Moro and Henri Schurz Journal: SIAM Journal of Scientific Computing, Volume 29 Issue 4, Pages 1525-1549 (2007). LINK | arXiv Abstract: Construction of splitting-step methods and properties of related non-negativity andboundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a newly designed splitting-step algorithm and simulation studies for numerous numerical examples ranging from stochastic dynamics occurring in asset pricing theory in mathematical finance (SDEs of CIR and CEV models) to measure-valued diffusion and superBrownian motion (SPDEs) as met in biology and physics. ...