Self-gravitating systems in a three-dimensional expanding Universe

The non-linear evolution of one-dimensional perturbations in a three-dimensional expanding Universe is considered. A general Lagrangian scheme is derived, and compared to two previously introduced approximate models. These models are simulated with heap-based event-driven numerical procedure, that allows for the study of large systems, averaged over many realizations of random initial conditions. One of the models is shown to be qualitatively, and, in some respects, concerning mass aggregation, quantitatively similar to the adhesion model.Comment: 11 figures, simulations of Q model include

Risk-return arguments applied to options with trading costs

We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the ideal case without transaction costs the optimal strategy for any given agent is found as the explicit solution of a constrained optimization problem. Transaction costs are taken into account on a perturbative way. A rational option price, in a world with only these agents, is then determined by considering the points of view of the buyer and the writer of the option. Price and strategy are determined to first order in the transaction costs.Comment: 10 pages, in LaTeX, no figures, Paper to be published in the Proceedings of the conference "Disorder and Chaos", in memory of Giovanni Paladin, Rome, Italy, 22-24 September 199

Epigenetics as a first exit problem

We develop a framework to discuss stability of epigenetic states as first exit problems in dynamical systems with noise. We consider in particular the stability of the lysogenic state of the lambda prophage, which is known to exhibit exceptionally large stability. The formalism defines a quantative measure of robustness of inherited states. In contrast to Kramers' well-known problem of escape from a potential well, the stability of inherited states in our formulation is not a numerically trivial problem. The most likely exit path does not go along a steepest decent of a potential -- there is no potential. Instead, such a path can be described as a zero-energy trajectory between two equilibria in an auxiliary classical mechanical system. Finding it is similar to e.g. computing heteroclinic orbits in celestial mechanics. The overall lesson of this study is that an examination of equilibria and their bifurcations with changing parameter values allow us to quantify both the stability and the robustness of particular states of a genetic control system.Comment: 6 pages, 3 figures, in REVTe

Perturbative large deviation analysis of non-equilibrium dynamics

Macroscopic fluctuation theory has shown that a wide class of non-equilibrium stochastic dynamical systems obey a large deviation principle, but except for a few one-dimensional examples these large deviation principles are in general not known in closed form. We consider the problem of constructing successive approximations to an (unknown) large deviation functional and show that the non-equilibrium probability distribution the takes a Gibbs-Boltzmann form with a set of auxiliary (non-physical) energy functions. The expectation values of these auxiliary energy functions and their conjugate quantities satisfy a closed system of equations which can imply a considerable reduction of dimensionality of the dynamics. We show that the accuracy of the approximations can be tested self-consistently without solving the full non- equilibrium equations. We test the general procedure on the simple model problem of a relaxing 1D Ising chain.Comment: 21 pages, 10 figure

Financial Friction and Multiplicative Markov Market Game

We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal strategies and expected frictional losses of the friction parameter. We present one derivation in terms of invariant measures of drift-diffusion processes (Fokker- Planck approach), and one derivation using the Hamilton-Jacobi-Bellman equation of optimal control theory. We also show that a significant part of the results can be derived without computation by a kind of dimensional analysis. We comment on the extension of the method to other sources of uncertainty, and discuss what conclusions can be drawn about the growth-optimal criterion as such.Comment: 10 pages, invited talk at the European Physical Society conference 'Applications of Physics in Financial Analysis', Trinity College, Dublin, Ireland, July 14-17, 199

Dynamic message-passing approach for kinetic spin models with reversible dynamics

A method to approximately close the dynamic cavity equations for synchronous reversible dynamics on a locally tree-like topology is presented. The method builds on $(a)$ a graph expansion to eliminate loops from the normalizations of each step in the dynamics, and $(b)$ an assumption that a set of auxilary probability distributions on histories of pairs of spins mainly have dependencies that are local in time. The closure is then effectuated by projecting these probability distributions on $n$-step Markov processes. The method is shown in detail on the level of ordinary Markov processes ($n=1$), and outlined for higher-order approximations ($n>1$). Numerical validations of the technique are provided for the reconstruction of the transient and equilibrium dynamics of the kinetic Ising model on a random graph with arbitrary connectivity symmetry.Comment: 6 pages, 4 figure