Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. Recent empirical studies of stock market indices examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Lévy-stable distribution L(alpha)(r) with some index 0<alpha< or =2. While the Lévy distribution cannot be expressed in a cl...

Classical site percolation was used to study numerically the effect of interplane coupling in the range 10(-1)-10(-6) of the in-plane coupling on the static correlation length exponent nu and the critical dimension D. It was found that even for the smallest coupling values the exponents take their three-dimensional (3D) values for sufficiently large system sizes. The percolation threshold p(c),...

We derive the fractional master equation with space-dependent anomalous exponent. We analyze the asymptotic behavior of the corresponding lattice model both analytically and by Monte Carlo simulation. We show that the subdiffusive fractional equations with constant anomalous exponent μ in a bounded domain [0,L] are not structurally stable with respect to the nonhomogeneous variations of paramet...

We give a method for obtaining radially symmetric solutions for the critical exponent problem ?u + a(x)u = u q + u 2 ?1 in R N u > 0 and R R N jruj 2 < 1 where, outside a ball centered at the origin, the non-negative function a is bounded from below by a positive constant ao > 0. We remark that, diierently from the literature, we do not require any conditions on a at innnity.

This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple “recipes” wh...

We propose a computational framework for incorporating diffuse-interface critical nuclei in phase-field simulations. Using a structural transformation as an example, we first generate a table of diffuse-interface critical nuclei. We then incorporate them in phase-field simulations through the explicit nucleation algorithm. The temporal growth kinetics of the introduced nuclei is obtained by num...

The space subdivision in cells resulting from a process of random nucleation and growth is a subject of interest in many scientific fields. In this paper, we deduce the expected value and variance of these distributions while assuming that the space subdivision process is in accordance with the premises of the KolmogorovJohnson-Mehl-Avrami model. We have not imposed restrictions on the time dep...

If certain preconditions are met, the Johnson-Mehl-Avrami-Kolmogorov (JMAK) kinetic equation is exactly accurate for nucleation and growth reactions with linear growth and is, at least, a good approximation for nucleation and growth reactions with parabolic growth. These preconditions include randomly distributed product phases, isotropic growth and constant equilibrium state. Mechanisms causin...

A one-dimensional tight-binding Hamiltonian describes the evolution of a single impurity interacting locally with N electrons. The impurity spectral function has a power-law singularity A(ω) ∝| ω− ω0 |−1+β with the same exponent β that characterizes the logarithmic decay of the quasiparticle weight Z with the number of electrons N , Z ∝ N−β. The exponent β is computed by (1) perturbation theory...

We study the asymptotic expansions with respect to h of