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  • Articles  (13)
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  • Springer  (13)
  • American Geophysical Union
  • American Institute of Physics (AIP)
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  • 1
    Electronic Resource
    Electronic Resource
    Springer
    Journal of theoretical probability 10 (1997), S. 935-965 
    ISSN: 1572-9230
    Keywords: Large deviations ; almost everywhere central limit theorem ; Brownian motion
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract We prove large deviation principles for the almost everywhere central limit theorem, assuming that the i.i.d. summands have finite moments of all orders. The level 3 rate function is a specific entropy relative to Wiener measure and the level 2 rate the Donsker-Varadhan entropy of the Ornstein-Uhlenbeck process. In particular, the rate functions are independent of the particular distribution of the i.i.d. process under study. We deduce these results from a large deviation theory for Brownian motion via Skorokhod's representation of random walk as Brownian motion evaluated at random times. The results for Brownian motion come from the well-known large deviation theory of the Ornstein-Uhlenbeck process, by a mapping between the two processes.
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  • 2
    Electronic Resource
    Electronic Resource
    Springer
    Journal of theoretical probability 10 (1997), S. 733-736 
    ISSN: 1572-9230
    Keywords: Diffusions ; Brownian motion ; Brownian bridge ; Girsanov transformations
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Let X t be a one-dimensional diffusion of the form dX t=dB t+μ(X t)dt. Let Tbe a fixed positive number and let $$\bar X_t $$ be the diffusion process which is X t conditioned so that X 0=X T=x. If the drift is constant, i.e., $$\mu (x) \equiv k$$ , then the conditioned diffusion process $$\bar X_t $$ is a Brownian bridge. In this paper, we show the converse is false. There is a two parameter family of nonlinear drifts with this property.
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  • 3
    Electronic Resource
    Electronic Resource
    Springer
    Journal of theoretical probability 10 (1997), S. 921-934 
    ISSN: 1572-9230
    Keywords: Brownian motion ; hitting density
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract With appropriate regularity assumptions on the increasing concave function x=β(t)〈0, the hitting time density p(t) for a transient curve x=β(t) by a 1-dimensional Brownian motion is shown to satisfy $$p(t) \sim \frac{{(1 - r)}}{{\sqrt {2\pi } }}\frac{{\beta (t) - t\beta '(t)}}{{t^{3/2} }}e^{ - (\phi ^2 (t))2} {\text{, as }}t \to \infty $$ Here r is the probability of eventually hitting the curve and φ(t)=t −1/2β(t).
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  • 4
    Electronic Resource
    Electronic Resource
    Springer
    Potential analysis 7 (1997), S. 759-764 
    ISSN: 1572-929X
    Keywords: Brownian motion ; stochastic equation ; quantum filtering.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Estimates of growth of the standard d-dimensional Brownian motion W(t) and its integral V(t) = ∫t 0 W (s) ds are obtained, as t → ∞, and an application is discussed to the long time asymptotics of the solutions of the nonlinear stochastic equation of the quantum filtering theory.
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  • 5
    Electronic Resource
    Electronic Resource
    Springer
    Potential analysis 7 (1997), S. 615-621 
    ISSN: 1572-929X
    Keywords: Brownian motion ; additive functional ; ratio ergodic theorem ; spectral theory of strings.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract We determine the asymptotic behaviour of the ratio of certain additive functionals of a linear Brownian motion, solving a problem raised by Erickson.
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  • 6
    Electronic Resource
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    Springer
    Letters in mathematical physics 41 (1997), S. 49-57 
    ISSN: 1573-0530
    Keywords: ergodic theory ; Langevin equation ; thermal relaxation ; return to equilibrium ; open systems ; Brownian motion
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Physics
    Notes: Abstract We discuss the dissipative dynamics of a classical particle coupled to an infinitely extended heat reservoir. We announce a number of results concerning the ergodic properties of this model. The novelty of our approach is that it extends beyond Markovian dynamics to the case where the Langevin equation is driven by colored noise. Our method works in arbitrary space dimension, and for fully nonlinear systems.
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  • 7
    Electronic Resource
    Electronic Resource
    Springer
    Journal of statistical physics 86 (1997), S. 1067-1087 
    ISSN: 1572-9613
    Keywords: Brownian motion ; friction coefficients ; fluctuation-induced transport ; numerical simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract The behavior of a test particle in a rarefied gas of classical particles is investigated. considering different interaction mechanisms (specular and diffuse reflection, respectively). For large mass ratio between test and gas particles, analytical expressions for the linear friction coefficient are derived. Moreover, the existence of directed motion of asymmetric test particles with distinct initial conditions (but in the absence of any gradients) is shown. The analytical results are supported by a numerical simulation technique applicable to systems with any mass ratio, which is described here in detail.
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  • 8
    Electronic Resource
    Electronic Resource
    Springer
    Journal of statistical physics 87 (1997), S. 989-1003 
    ISSN: 1572-9613
    Keywords: Brownian motion ; long-time tails
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract The long-time translational and rotational motion of a Brownian particle in two dimensions is studied on the basis of the fluctuation-dissipation theorem and linearized hydrodynamics. The long-time motion follows from the low frequency behavior of the mobility matrix. The coefficient of the long-time tail for the translational motion turns out to be independent of shape and size of the body, in agreement with mode-coupling theory. For rotational Brownian motion the coefficient of the long-time tail is found to depend on the shape of the body. This result is in conflict with a recent prediction from mode-coupling theory, and indicates that the mode-coupling calculation should be revised.
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  • 9
    ISSN: 1435-1528
    Keywords: Suspension ; Brownian motion ; hydrodynamic interaction ; shear-thinning ; shear thickening ; dynamic clustering ; BKZ constitutive equation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Chemistry and Pharmacology , Physics
    Notes: Abstract Time-dependent nonlinear flow behavior was investigated for a model hard-sphere suspension, a 50 wt% suspension of spherical silica particles (radius = 40 nm; effective volume fraction = 0.53) in a 2.27/1 (wt/wt) ethylene glycol/glycerol mixture. The suspension had two stress components, the Brownian stress σ B and the hydrodynamic stress σ H After start-up of flow at various shear rates $$\dot \gamma $$ , the viscosity growth function η+ (t, $$\dot \gamma $$ ) was measured with time t until it reached the steady state. The viscosity decay function η− (t, $$\dot \gamma $$ ) was measured after cessation of flow from the steady as well as transient states. At low $$\dot \gamma $$ where the steady state viscosity η ( $$\dot \gamma $$ ) exhibited the shear-thinning, the η− (t, $$\dot \gamma $$ ) and η+ (t, $$\dot \gamma $$ ) data were quantitatively described with a BKZ constitutive equation utilizing data for nonlinear relaxation moduli G (t, γ). This result enabled us to attribute the thinning behavior to the decrease of the Brownian contribution η B = σ B / $$\dot \gamma $$ (considered in the BKZ equation through damping of G (t, γ)). On the other hand, at high $$\dot \gamma $$ where η ( $$\dot \gamma $$ ) exhibited the thickening, the BKZ prediction largely deviated from the η+ (t, $$\dot \gamma $$ ) and η+ (t, $$\dot \gamma $$ ) data, the latter obtained after cessation of steady flow. This result suggested that the thickening was due to an enhancement of the hydrodynamic contribution η H = σ H / $$\dot \gamma $$ (not considered in the BKZ equation). However, when the flow was stopped at the transient state and only a small strain (〈0.2) was applied, η H was hardly enhanced and the η− (t, $$\dot \gamma $$ ) data agreed with the BKZ prediction. Correspondingly, the onset of thickening of η+ (t, $$\dot \gamma $$ ) was characterized with a $$\dot \gamma $$ -insensitive strain (≌ 0.2). On the basis of these results, the enhancement of η H (thickening mechanism) was related to dynamic clustering of the particles that took place only when the strain applied through the fast flow was larger than a characteristic strain necessary for close approach/collision of the particles.
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  • 10
    ISSN: 1435-1528
    Keywords: Key words Suspension ; Brownian motion ; hydrodynamic interaction ; shear-thinning ; shear thickening ; dynamic clustering ; BKZ ; constitutive equation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Chemistry and Pharmacology , Physics
    Notes: Abstract Time-dependent nonlinear flow behavior was investigated for a model hard-sphere suspension, a 50wt% suspension of spherical silica particles (radius=40nm; effective volume fraction=0.53) in a 2.27/1(wt/wt) ethylene glycol/glycerol mixture. The suspension had two stress components, the Brownian stress σ B and the hydrodynamic stress σ H . After start-up of flow at various shear rates , the viscosity growth function was measured with time t until it reached the steady state. The viscosity decay function was measured after cessation of flow from the steady as well as transient states. At low ˙γ where the steady state viscosity ) exhibited the shear-thinning, the and data were quantitatively described with a BKZ constitutive equation utilizing data for nonlinear relaxation moduli . This result enabled us to attribute the thinning behavior to the decrease of the Brownian contribution (considered in the BKZ equation through damping of ). On the other hand, at high ˙γ where exhibited the thickening, the BKZ prediction largely deviated from the and data, the latter obtained after cessation of steady flow. This result suggested that the thickening was due to an enhancement of the hydrodynamic contribution (not considered in the BKZ equation). However, when the flow was stopped at the transient state and only a small strain (〈〉;0.2) was applied, was hardly enhanced and the data agreed with the BKZ prediction. Correspondingly, the onset of thickening of was characterized with a ˙γ-insensitive strain (≅0.2). On the basis of these results, the enhancement of (thickening mechanism) was related to dynamic clustering of the particles that took place only when the strain applied through the fast flow was larger than a characteristic strain necessary for close approach/collision of the particles.
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  • 11
    Electronic Resource
    Electronic Resource
    Springer
    Acta applicandae mathematicae 46 (1997), S. 351-362 
    ISSN: 1572-9036
    Keywords: Brownian motion ; local time ; white noise analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract For any dimension we present the expansions of Brownian motion self-intersection local times in terms of multiple Wiener integrals. Suitably subtracted, they exist in the sense of generalized white noise functionals; their kernel functions are given in closed (and remarkably simple) form.
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  • 12
    Electronic Resource
    Electronic Resource
    Springer
    Journal of statistical physics 87 (1997), S. 1005-1035 
    ISSN: 1572-9613
    Keywords: Brownian motion ; Fokker-Planck equation ; non-Markovian process
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract In this paper, the first microscopic approach to Brownian motion is developed in the case where the mass density of the suspending bath is of the same order of magnitude as that of the Brownian (B) particle. Starting from an extended Boltzmann equation, which describes correctly the interaction with the fluid, we derive systematically via multiple-time-scale analysis a reduced equation controlling the thermalization of the B particle, i.e., the relaxation toward the Maxwell distribution in velocity space. In contradistinction to the Fokker-Planck equation, the derived new evolution equation is nonlocal both in time and in velocity space, owing to correlated recollision events between the fluid and particle B. In the long-time limit, it describes a non-Markovian generalized Ornstein-Uhlenbeck process. However, in spite of this complex dynamical behavior, the Stokes-Einstein law relating the friction and diffusion coefficients is shown to remain valid. A microscopic expression for the friction coefficient is derived, which acquires the form of the Stokes law in the limit where the meanfree path in the gas is small compared to the radius of particle B.
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  • 13
    Electronic Resource
    Electronic Resource
    Springer
    Journal of optimization theory and applications 95 (1997), S. 565-580 
    ISSN: 1573-2878
    Keywords: Brownian motion ; diffusion processes ; observers ; dynamic sampling ; optimal control
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Dynamic sampling utilizes the option of varying the sampling rates according to the situation of the systems, thus obtaining procedures with improved efficiencies. In this paper, the technique is applied to a typical problem in optimal control theory, that of tracking and controlling the position of an object. It is shown that the dynamic sampling results in a significantly improved procedure for this case, even when applying a suboptimal policy which can be analyzed in closed form.
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