Two Isospectral-Nonisospectral Super-Integrable Hierarchies and Related Invariant Solutions

In this article, we adopt two kinds of loop algebras corresponding to the Lie algebra B(0,1) to introduce two line spectral problems with different numbers of even and odd superfunctions. Through generalizing the time evolution λt to a polynomial of λ, two isospectral-nonisospectral super integrable hierarchies are derived in terms of Tu scheme and zero-curvature equation. Among them, the first super integrable hierarchy is further reduced to generalized Fokker–Plank equation and special bond pricing equation, as well as an explicit super integrable system under the choice of specific parameters. More specifically, a super integrable coupled equation is derived and the corresponding integrable properties are discussed, including the Lie point symmetries and one-parameter Lie symmetry groups as well as group-invariant solutions associated with characteristic equation.

On Systems of Active Particles Perturbed by Symmetric Bounded Noises: A Multiscale Kinetic Approach

We consider an ensemble of active particles, i.e., of agents endowed by internal variables u(t). Namely, we assume that the nonlinear dynamics of u is perturbed by realistic bounded symmetric stochastic perturbations acting nonlinearly or linearly. In the absence of birth, death and interactions of the agents (BDIA) the system evolution is ruled by a multidimensional Hypo-Elliptical Fokker–Plank Equation (HEFPE). In presence of nonlocal BDIA, the resulting family of models is thus a Partial Integro-differential Equation with hypo-elliptical terms. In the numerical simulations we focus on a simple case where the unperturbed dynamics of the agents is of logistic type and the bounded perturbations are of the Doering–Cai–Lin noise or the Arctan bounded noise. We then find the evolution and the steady state of the HEFPE. The steady state density is, in some cases, multimodal due to noise-induced transitions. Then we assume the steady state density as the initial condition for the full system evolution. Namely we modeled the vital dynamics of the agents as logistic nonlocal, as it depends on the whole size of the population. Our simulations suggest that both the steady states density and the total population size strongly depends on the type of bounded noise. Phenomena as transitions to bimodality and to asymmetry also occur.

An Approximation Scheme for Value at Risk under Mean Reverting Stochastic Volatility Model

In this paper, a stochastic differential equation is provided for the stock price in which not only the volatility of returns is stochastic same as Hull and White model but also, it has the mean-reverting property. Then, to analyze the probability distribution of this model, the Fokker--Plank equation is applied and the resulting problem is solved numerically. The well known numerical scheme, q-method is applied to approximate the solution of the resulting equation. Finally, a practical application of the provided model in financial aspects is shown within a numerical example. In this example, the proposed model and numerical results are used to approximate the Value at Risk (VaR) of the Tehran stock exchange total index.

Analytical and Numerical Treatments of Conservative Diffusions and the Burgers Equation

The present work is concerned with the study of the generalized Langevin equation and its link to the physical theories of statistical mechanics and scale relativity. It is demonstrated that the form of the coefficients of Langevin equation depend critically on the assumption of continuity of the reconstructed trajectory. This in turn demands for the fluctuations of the diffusion term to be discontinuous in time. This paper further investigates the connection between the scale-relativistic and stochastic mechanics approaches, respectively, with the study of the Burgers equation, which in this case appears as a stochastic geodesic equation. By further demanding time reversibility of the drift the Langevin equation can also describe equivalent quantum-mechanical systems in a path-wise manner. The resulting statistical description obeys the Fokker-Plank equation of the probability density of the differential system, which can be readily estimated from Monte Carlo simulations of the random paths. Based on the Fokker-Plank formalism a new derivation of the transient probability densities is presented. Finally, stochastic simulations are compared to the theoretical results.

Stochastic Logistic Model of the Global Financial Leverage

Debt, as one of basic human relations, has profound effects on economic growth. Debt accumulation in the global economy was modeled by the stochastic logistic equation reflecting causality between leverage and its rate of change. The model, identifying interactions and feedbacks in aggregate behaviour of creditors and borrowers, addressed various issues of macrofinancial stability. Qualitatively diverse patterns, including the Wicksellian (normal) market, the Minsky financial bubbles and the Fisherian debt-deflation, were discerned by appropriate combinations of rates of return, spreads and leverage. The Kolmogorov-Fokker-Plank equation was used to find out the stationary gamma distribution of leverage that was instrumental for the evaluation of appropriate failure and survival functions. Two patterns corresponding to different forms of a stationary gamma distribution were recognized in the long run leverage dynamics and were simulated as scenarios of a possible system evolution. In particular, empirically parameterized asymptotical distribution indicated excessive leverage and unsustainable global debt accumulation. It underlined the necessity of comprehensive reforms aiming to decrease uncertainty, debt and leverage. Assuming these reforms were successfully implemented, global leverage distributions would have converged in the long run to a peaked gamma distribution with the mode identical to the anchor leverage. The latter corresponded to a balanced long run debt demand and supply, hence to fairly evaluated financial assets fully collateralized by real resources. A particular case of macrofinancial Tobin’s q-coefficients following the Ornstein-Ulenbeck process was studied to evaluate a reasonable range of squeezing the bloated world finance. The model was verified on data published by the IMF in Global Financial Stability Reports for the period 2003–2013.

Coherent States in a Laser Cavity

A mathematical model was developed to obtain the population inversion of the atoms in laser field in a laser cavity by considering the electric field in the optical cavity and the atomic states of the medium to be quantized. The master equation of the density operator of the laser field was studied analytically and numerically. Using coherent states, the Fokker-Plank equation for the phase space density for the laser field was solved analytically for the time dependent and steady state situations. The laser field above the threshold can be represented by a randomly phased mixture of coherent states. As the pump parameter increases in the laser process, the phase density becomes narrower, tending toward a delta function, creating a coherence laser field.