Multifractal concentrations of inertial particles in smooth random flows

Collisionless suspensions of inertial particles (finite-size impurities) are studied in 2D and 3D spatially smooth flows. Tools borrowed from the study of random dynamical systems are used to identify and to characterise in full generality the mechanisms leading to the formation of strong inhomogeneities in the particle concentration. Phenomenological arguments are used to show that in 2D, heavy particles form dynamical fractal clusters when their Stokes number (non-dimensional viscous friction time) is below some critical value. Numerical simulations provide strong evidence for this threshold in both 2D and 3D and for particles not only heavier but also lighter than the carrier fluid. In 2D, light particles are found to cluster at discrete (time-dependent) positions and velocities in some range of the dynamical parameters (the Stokes number and the mass density ratio between fluid and particles). This regime is absent in 3D, where evidence is that the Hausdorff dimension of clusters in phase space (position-velocity) remains always above two. After relaxation of transients, the phase-space density of particles becomes a singular random measure with non-trivial multiscaling properties. Theoretical results about the projection of fractal sets are used to relate the distribution in phase space to the distribution of the particle positions. Multifractality in phase space implies also multiscaling of the spatial distribution of the mass of particles. Two-dimensional simulations, using simple random flows and heavy particles, allow the accurate determination of the scaling exponents: anomalous deviations from self-similar scaling are already observed for Stokes numbers as small as $10^{-4}$.Comment: 21 pages, 13 figure

Fractal clustering of inertial particles in random flows

It is shown that preferential concentrations of inertial (finite-size) particle suspensions in turbulent flows follow from the dissipative nature of their dynamics. In phase space, particle trajectories converge toward a dynamical fractal attractor. Below a critical Stokes number (non-dimensional viscous friction time), the projection on position space is a dynamical fractal cluster; above this number, particles are space filling. Numerical simulations and semi-heuristic theory illustrating such effects are presented for a simple model of inertial particle dynamics.Comment: 4 pages, 4 figures, Physics of Fluids, in pres

Forced Burgers Equation in an Unbounded Domain

The inviscid Burgers equation with random and spatially smooth forcing is considered in the limit when the size of the system tends to infinity. For the one-dimensional problem, it is shown both theoretically and numerically that many of the features of the space-periodic case carry over to infinite domains as intermediate time asymptotics. In particular, for large time $T$ we introduce the concept of $T$-global shocks replacing the notion of main shock which was considered earlier in the periodic case (1997, E et al., Phys. Rev. Lett. 78, 1904). In the case of spatially extended systems these objects are no anymore global. They can be defined only for a given time scale and their spatial density behaves as $\rho(T) \sim T^{-2/3}$ for large $T$. The probability density function $p(A)$ of the age $A$ of shocks behaves asymptotically as $A^{-5/3}$. We also suggest a simple statistical model for the dynamics and interaction of shocks and discuss an analogy with the problem of distribution of instability islands for a simple first-order stochastic differential equation.Comment: 9 pages, 10 figures, revtex4, J. Stat. Phys, in pres

Finite-size effects in the dynamics of neutrally buoyant particles in turbulent flow

The dynamics of neutrally buoyant particles transported by a turbulent flow is investigated for spherical particles with radii of the order of the Kolmogorov dissipative scale or larger. The pseudo-penalisation spectral method that has been proposed by Pasquetti et al. (2008) is adapted to integrate numerically the simultaneous dynamics of the particle and of the fluid. Such a method gives a unique handle on the limit of validity of point-particle approximations, which are generally used in applicative situations. Analytical predictions based on such models are compared to result of very well resolved direct numerical simulations. Evidence is obtained that Faxen corrections give dominant finite-size corrections to velocity and acceleration fluctuations for particle diameters up to four times the Kolmogorov scale. The dynamics of particles with larger diameters is dominated by inertial-range physics, and is consistent with predictions obtained from dimensional analysis.Comment: 10 pages, 5 figure

Burgers Turbulence

The last decades witnessed a renewal of interest in the Burgers equation. Much activities focused on extensions of the original one-dimensional pressureless model introduced in the thirties by the Dutch scientist J.M. Burgers, and more precisely on the problem of Burgers turbulence, that is the study of the solutions to the one- or multi-dimensional Burgers equation with random initial conditions or random forcing. Such work was frequently motivated by new emerging applications of Burgers model to statistical physics, cosmology, and fluid dynamics. Also Burgers turbulence appeared as one of the simplest instances of a nonlinear system out of equilibrium. The study of random Lagrangian systems, of stochastic partial differential equations and their invariant measures, the theory of dynamical systems, the applications of field theory to the understanding of dissipative anomalies and of multiscaling in hydrodynamic turbulence have benefited significantly from progress in Burgers turbulence. The aim of this review is to give a unified view of selected work stemming from these rather diverse disciplines.Comment: Review Article, 49 pages, 43 figure

Stochastic suspensions of heavy particles

Turbulent suspensions of heavy particles in incompressible flows have gained much attention in recent years. A large amount of work focused on the impact that the inertia and the dissipative dynamics of the particles have on their dynamical and statistical properties. Substantial progress followed from the study of suspensions in model flows which, although much simpler, reproduce most of the important mechanisms observed in real turbulence. This paper presents recent developments made on the relative motion of a pair of particles suspended in time-uncorrelated and spatially self-similar Gaussian flows. This review is complemented by new results. By introducing a time-dependent Stokes number, it is demonstrated that inertial particle relative dispersion recovers asymptotically Richardson's diffusion associated to simple tracers. A perturbative (homogeneization) technique is used in the small-Stokes-number asymptotics and leads to interpreting first-order corrections to tracer dynamics in terms of an effective drift. This expansion implies that the correlation dimension deficit behaves linearly as a function of the Stokes number. The validity and the accuracy of this prediction is confirmed by numerical simulations.Comment: 15 pages, 12 figure

Cyclicality and Term Structure of Value-at-Risk in Europe

This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q4 for France, Germany and the United-Kingdom, it turns out that the k-year VaR of equities is actually dependent on the cycle phase: the expected losses as measured by the VaR are smaller in recession times than expansion periods, whatever the country and the horizon. These results strongly suggest that the European rules regarding the solvency capital requirements for insurance companies should adapt to the state of the financial market’s cycle.

Federal Funds Rate Stationarity: New Evidence

This paper investigates the stationarity of the Federal Funds Rate. It contributes to the existing empirical literature in two ways. First, it explores both the presence of unit root and structural changes in the federal funds rate monthly data, by allowing for interaction between these two assumptions as suggested by the recent work of Lee and Strazicich. The second contribution consists in testing formally for the number of breaks. Using monthly data from January 1960 to April 2008, we find strong evidence in favor of a stationary process with two breaks. The two breaks identified correspond respectively to the first oil shock and to the change in the Fed operating procedure in the early eighties.