In traditional finance, option prices are typically calculated using crisp sets of variables. However, in a proposed new approach, the assumption is made that these parameters have a degree of fuzziness or uncertainty associated with them. This allows participants to estimate option prices based on their risk preferences and beliefs, considering a range of possible values for the parameters. To determine the belief degree associated with a particular option price, an interpolation search algorithm was proposed recently[1]. Interpolation is a mathematical technique used to estimate values between known data points. In this case, the algorithm is applied to determine the belief degree associated with a specific option price within the range of possible prices. By incorporating fuzzy numbers and the belief degree, this approach provides a more flexible framework for practitioners to make their investment decisions. It allows them to consider their risk preferences and beliefs about the uncertain parameters when selecting an option price. In this paper, we will review a unified framework for combining fractional Brownian motion with fuzzy processes and obtain a joint measure space. We start by constructing a product measure space that captures the randomness and fuzziness inherent in the respective processes. We begin with the usual Kolmogorov filtered probability space (Ω, F, ℙ), where ℙ represents the probability measure, Ω is the set of all possible outcomes or states that a random process can take and {Ft, t ∈ [0, T]} is an information filtration. We will review the work of Merton (1976) on option pricing when the underlying stock returns have jumps [2] and expand it to fuzzy fractional processes.

The diffusion coefficient--a measure of dissipation, and the entropy--a measure of fluctuation are found to be intimately correlated in many physical systems. Unlike the fluctuation dissipation theorem in linear response theory, the correlation is often strongly non-linear. To understand this complex dependence, we consider the classical Brownian diffusion in this work. Under certain rational assumption, i.e. in the bi-component fluid mixture, the mass of the Brownian particle $M$ is far greater than that of the bath molecule $m$, we can adopt the weakly couple limit. Only considering the first-order approximation of the mass ratio $m/M$, we obtain a linear motion equation in the reference frame of the observer as a Brownian particle. Based on this equivalent equation, we get the Hamiltonian at equilibrium. Finally, using canonical ensemble method, we define a new entropy that is similar to the Kolmogorov-Sinai entropy. Further, we present an analytic expression of the relationship between the diffusion coefficient $D$ and the entropy $S$ in the thermal equilibrium, that is to say, $D =\frac{\hbar}{eM} \exp{[S/(k_Bd)]}$, where $d$ is the dimension of the space, $k_B$ the Boltzmann constant, $\hbar $ the reduced Planck constant and $e$ the Euler number. This kind of scaling relation has been well-known and well-tested since the similar one for single component is firstly derived by Rosenfeld with the expansion of volume ratio.

The current letter complements my info-geometric discoveries, especially those provided from two papers of mine. Fundamentally, the statistical relativization of the Generalized Brownian Motion Manifold. Following this innovative and unprecedented track of research will open a plethora of numerous info-geometric investigations to many unexplored related phenomena in the hope to uncover more new interpretations for the Generalized Brownian Motion Manifold from an info-geometric perspective.

In this paper, we study the Parisian time of a reflected Brownian motion with drift on a finite collection of rays. We derive the Laplace transform of the Parisian time using a recursive method, and provide an exact simulation algorithm to sample from the distribution of the Parisian time. The paper is motivated by the settlement delay in the real-time gross settlement (RTGS) system. Both the central bank and the participating banks in the system are concerned about the liquidity risk, and are interested in the first time that the duration of settlement delay exceeds a predefined limit, we reduce this problem to the calculation of the Parisian time. The Parisian time is also crucial in the pricing of Parisian type options; to this end, we will compare our results with the existing literature.

Single-molecule fluorescence detection (SMFD) experiments are useful in distinguishing sub-populations of molecular species when measuring heterogeneous samples. One experimental platform for SMFD is based on a confocal microscope, where molecules randomly traverse an effective detection volume. The non-uniformity of the excitation profile and the random nature of Brownian motion, produce fluctuating fluorescence signals. For these signals to be distinguished from the background, burst analysis is frequently used. Yet, the relation between the results of burst analyses and the underlying information of the diffusing molecules is still obscure and requires systematic assessment. In this work we performed three-dimensional Brownian motion simulations of SMFD, and tested the positions at which molecules emitted photons that passed the burst analysis criteria for different values of burst analysis parameters. The results of this work verify which of the burst analysis parameters and experimental conditions influence both the position of molecules in space when fluorescence is detected and taken into account, and whether these bursts of photons arise purely from single molecules, or not entirely. Finally, we show, as an example, the effect of bursts that are not purely from a single molecule on the accuracy in single-molecule Förster resonance energy transfer measurements.

The multivariate Gaussian random fields with matrix-based scaling laws are widely used for inference in statistics and many applied areas. In such contexts interests are often in symmetry and in the rates of change of spatial surfaces in any given direction. This article analyzes the almost sure sample function behavior for operator fractional Brownian motion, including multivariate fractional Brownian motion. We obtain the estimations of small ball probability and the strongly locally nondeterministic for operator fractional Brownian motion in any given direction. Applying these estimates we obtain Chung's laws of the iterated logarithm for spatial surfaces of operator fractional Brownian motion. Our results show that the precise rates of change of spatial surfaces are completely determined by the self-similarity exponent.

Information geometry (IG) is a fascinating combination of differential geometry and statistics where a Riemannian manifold's structure is applied to a statistical model. It may find numerous fascinating uses in the domains of theoretical neurology, machine learning, complexity, and (quantum) information theory, among others. (IG) aims to provide a differential-geometric perspective on statistical geodesic models' structure. In this case, IG, KD, and J-divergence (JD) are used to define the manifold of the Generalised Brownian Motion (GBM). Consequently, the geodesic equations (GEs) are devised, and GB information matrix exponential (IME) is presented. Moreover, for first time ever, the necessary and sufficient mathematical requirement that characterizes the developability of Generalized Brownian Motion(GBM) manifold is devised. Also, a novel sufficient and necessary conditions which characterizes the regions where the surface describing GBM is minimal is determined. Also, it is shown that GBM has a non-zero 0-Gaussian and Ricci curvatures. Consequently, this advances the establishment of a unified GBM- Relativistic Info-Geometric based analysis.

This study aims to identify the model that best approximates the credit spread that should be fixed on debt instruments issued by both public and private companies, considering the particularities of the Mexican market. Five models were analyzed: Merton's [1], those proposed by Denzler et al., the one presented in this paper, which includes the conformable derivatives, taking as a reference the change of variable made by Morales-Bañuelos et al., and the Corporate Default Risk Model (DRSK) for Publics Firms of Bloomberg [4]. The required financial information was obtained from the Bloomberg platform, from which the probabilities of default, credit spreads, and credit ratings for each company in the sample under the model (DRSK) were extracted directly. Likewise, the program developed by Moody's K.M.V. was used to obtain the EDF (Expected Default Frequencies). It was concluded that the Modified Merton model approximates to a greater extent the credit spreads that fix on a prime rate on the loans granted to the Mexican non-financial companies.

In this paper, we investigate the Green measure for a class of non-Gaussian processes in $\mathbb{R}^{d}$. These measures are associated with the family of generalized grey Brownian motions $B_{\beta,\alpha}$, $0

Confinement can induce substantial changes in the physical properties of macromolecules in suspension. Soft confinement is a particular class of restriction where the boundaries that constraint the particles in a region of the space are not well-defined. This scenario leads to a broader structural and dynamical behavior than the observed in systems enclosed between rigid walls. In this contribution, we study the ordering and diffusive properties of a two-dimensional colloidal model system subjected to a one-dimensional parabolic trap. Increasing the trap strength makes it possible to go through weak to strong confinement, allowing a dimensional transition from two- to one-dimension. The non-monotonic response of the static and dynamical properties to the gradual dimensionality change affects the system phase behavior. We find that the particle dynamics is connected with the structural transitions induced by the parabolic trap. In particular, at low and intermediate confinement regimes, complex structural and dynamical scenarios arise, where the softness of the external potential induces melting and freezing, resulting in faster and slower particle diffusion, respectively. Besides, at strong confinements, colloids move basically along one direction, and the whole system behaves structurally and dynamically similar to a one-dimensional colloidal system.

In a recent article, the author derived a new generalized Langevin equation and its associated Fokker-Planck equation of a Brownian particle in a parabolic potential where the thermal bath, consisting of $N$ harmonic oscillators, interacts bilinearly with the external field. The time needed for the system to reach a steady state is longer than that for the classical version where such an interaction is off. We find that there is a marked effect of the field-bath interaction on the average heat and entropy production of the bath represented through strong oscillations in such properties. The new theory applied to the system should improve the physical description of previous works done with the classical approach.

Generally, stochastic functional differential equations (SFDEs) pose a challenge as they often lack explicit exact solutions. Consequently, it becomes necessary to seek certain favorable conditions under which numerical solutions can converge towards the exact solutions. This article aims to delve into the convergence analysis of solutions for stochastic functional differential equations by employing the framework of G-Brownian motion. To establish the goal, we find a set of useful monotone type conditions and work within the space Cr((−∞,0];Rn). The investigation conducted in this article confirms the mean square boundedness of solutions. Furthermore, this study enables us to compute both LG2 and exponential estimates.

To sample from complex, high-dimensional distributions, one may choose algorithms based on the Hybrid Monte Carlo (HMC) method. HMC-based algorithms generate nonlocal moves alleviating diffusive behavior. Here, I build on an already defined HMC framework, Hybrid Monte Carlo on Hilbert spaces [A. Beskos, F.J. Pinski, J.-M. Sanz-Serna and A.M. Stuart, Stoch. Proc. Applic. 121, 2201 - 2230 (2011); doi:10.1016/j.spa.2011.06.003] that provides finite-dimensional approximations of measures π which have density with respect to a Gaussian measure on an infinite-dimensional Hilbert (path) space. In all HMC algorithms, one has some freedom to choose the mass operator. The novel feature of the algorithm described in this article lies in the choice of this operator. This new choice defines a Markov Chain Monte Carlo (MCMC) method which is well defined on the Hilbert space itself. As before, the algorithm described herein uses an enlarged phase space Π having the target π as a marginal, together with a Hamiltonian flow that preserves Π. In the previous method, the phase space π was augmented with Brownian bridges. With the new choice for the mass operator, π is augmented with Ornstein-Uhlenbeck (OU) bridges. The covariance of Brownian bridges grows with its length, which has negative effects on the Metropolis-Hasting acceptance rate. This contrasts with the covariance of OU bridges which is independent of the path length. The ingredients of the new algorithm include the definition of the mass operator, the equations for the Hamiltonian flow, the (approximate) numerical integration of the evolution equations, and finally the Metropolis-Hastings acceptance rule. Taken together, these constitute a robust method for sampling the target distribution in an almost dimension-free manner. The behavior of this novel algorithm is demonstrated by computer experiments for a particle moving in two dimensions, between two free-energy basins separated by an entropic barrier.

In this study, a simple and direct numerical scheme is proposed for the similarity solution of Smoluchowski coagulation equation based on Taylor series expansion method of moment. The results show that the present method is convergence with high accuracy by comparison with previous work in the literatures.

The novel Ionized Gas Thermoelectric Generator (IG-TEG) system that has been studied theoretically showing capabilities to continually extracting energy from the thermal energy of the ambient air, at low temperatures within the standard room temperature and below. This system does not need a temperature gradient in order to work, unlike the other TEGs that use Seebeck effect, and therefore this new system can be utilized for cooling purposes, by extracting energy instead of wasting energy in compressing the gas for cooling. This novel system was designed based on Static Ratchet Potential (SRP), which is known as a spatially asymmetric electric potential produced by an array of positive and negative electrodes. The ratchet potential produces electrical current from random Brownian Motion of charged particles that are driven by thermal energy. Ratchet potential was studied and investigated by several researches in the fields of sensing and energy harvesting. The main ratchet potential system parameter is the particles transportation, this parameter was studied under the condition of flashing ratchet potentials, and was analyzed based on several methods. In this study, a different approach is pursued to estimate particles transportation, by evaluating the charged particles distribution, and applying the other conditions of the SRP.

In this paper, the definition of information entropy of Smoluchowski coagulation equation for Brownian motion is introduced based on coagulation probability. The expression of entropy is the function of geometric average particle volume and standard deviation with lognormal distribution assumption. The asymptotic solution with moment method shows that the entropy is a monotone increasing function of time, which is equivalence to the entropy based on particle size distribution. the result reveals that the present definition of entropy of Smoluchowski coagulation equation are inadequate because the particle average volume at equilibrium cannot be determined from the principle of maximum entropy. This provides a basis for further exploring the global properties of Smoluchowski coagulation equation.

Lipid mesophases are being intensively studied as potential candidates for drug-delivery purposes. Extensive experimental characterization has unveiled a wide palette of release features depending on the nature of the host lipids and of the guest molecule, as well as on the environmental conditions. However, only few simulation works have addressed the matter, which hampers a solid rationalization of the richness of outcomes observed in experiments. Particularly, to date there are no theoretical works addressing the impact of hydropathy on the transport of a molecule within lipid mesophases, despite the significant fraction of hydrophobic molecules among currently-available drugs. Similarly, the high heterogeneity of water mobility in the nanoscopic channels within lipid mesophases has also been neglected. To fill this gap, we introduce here a minimal model to account for these features in a lamellar geometry, and systematically study the role played by hydropathy and water-mobility heterogeneity by Brownian-dynamics simulations. We unveil a fine interplay between the presence of free-energy barriers, the affinity of the drug for the lipids, and the reduced mobility of water in determining the net molecular transport. More in general, our work is an instance of how multiscale simulations can be fruitfully employed to assist experiments in release systems based on lipid mesophases.

Titanium dioxide nanoparticles have risen concerns about their possible toxicity and the European Food Safety Authority recently banned the use of TiO2 nano-additive in food products. Following the intent of relating nanomaterials atomic structure with their toxicity without having to conduct large scale experiments on living organisms, we investigate the aggregation of titanium dioxide nanoparticles using a multi-scale technique: starting from ab initio Density Functional Theory to get an accurate determination of the energetics and electronic structure, we switch to classical Molecular Dynamics simulations to calculate the Potential of Mean Force for the connection of two identical nanoparticles in water; the fitting of the latter by a set of mathematical equations is the key for the upscale. Lastly, we perform Brownian Dynamics simulations where each nanoparticle is a spherical bead. This coarsening strategy allows studying the aggregation of a few thousand nanoparticles. Applying this novel procedure, we find three new molecular descriptors, namely, the aggregation free energy and two numerical parameters used to correct the observed deviation from the aggregation kinetic described by the Smoluchowski theory. Molecular descriptors can be fed into QSAR models to predict the toxicity of a material knowing its physicochemical properties, without having to conduct large scale experiments on living organisms.

The multifarious internal workings of organisms are difficult to reconcile with a single feature defining a state of ‘being alive’. Indeed, definitions of life rely on emergent properties (growth, capacity to evolve, agency) only symptomatic of intrinsic functioning. Empirical studies demonstrate that biomolecules including ratcheting/rotating enzymes, ribozymes and pigment molecules undergo repetitive conformation state changes driven by energy absorption, excitation and relaxation. They exhibit disparate structures, but govern processes relying on directional physical motion (DNA transcription, translation, ATP synthesis, cytoskeleton transport, photosynthetic resonance energy transfer) and share the principle of repetitive uniplanar conformation changes driven by thermodynamic gradients, producing dependable unidirectional motion: ‘heat engines’ exploiting thermodynamic disequilibria to perform work. Recognition that disparate biological molecules share a heat engine principle governing directional motion, working in self-regulating networks, allows a mechanistic definition: life is a self-regulating process whereby matter undergoes cyclic, uniplanar conformation state changes that convert thermodynamic disequilibria into directed motion, performing work that locally reduces entropy. ‘Living things’ are structures including autonomous networks of units operating on the heat engine principle. Death is loss of integrated heat engine function. These principles are independent of any specific chemical environment, and can be applied to other biospheres.

Many empirical and theoretical studies indicate that Brownian motion and diffusion models as its mean field counterpart provide appropriate modelling techniques for individual insect movement. However, this traditional approach has been challenged and conflicting evidence suggests that an alternative movement pattern such as Lévy walks can provide a better description. Lévy walks differ from Brownian motion since they allow for a higher frequency of large steps, resulting in a faster movement. Identification of the ‘correct’ movement model that would consistently provide the best fit for movement data is challenging and has become a highly controversial issue. In this paper, we show that this controversy may be superficial rather than real if the issue is considered in the context of trapping or, more generally, survival probabilities. In particular, we show that almost identical trap counts are reproduced for inherently different movement models (such as the Brownian motion and the Lévy walk) under certain conditions of equivalence. This apparently suggests that the whole ‘Levy or diffusion’ debate is rather senseless unless it is placed into a specific ecological context, e.g. pest monitoring programmes.

We quantitatively investigated the statistical behaviors of semiflexible polymer chains, which are simultaneously subjected to force stretching and rectangular tube confinement. Based on the wormlike chain model and Odijk deflection theory, we derived a new deflection length, by which new compact formulas are obtained for the confinement free energy and force-confinement-extension relation. These newly derived formulas have been justified by numerical solutions of an eigenvalue problem associated with the Fokker-Planck governing equation and extensive Brownian dynamics simulations based on the so-called Generalized Bead-Rod (GBR) model. We found that, comparing to the classical deflection theory, these new formulas are valid for a much extended range of the confinement-size /persistence-length ratio, and have no adjustable fitting parameters for sufficient long semiflexible chains in the whole deflection regime.

The KcsA is a prokaryotic potassium-oriented channel, which is sourced from the Streptomyces lividans soil bacteria. From extensive studies that have been carried over the KcsA potassium channel, it has been proved that various factors enable the gating and shuttling of the potassium ions into and out of the cells. Some of the factors include the different concentration of protons in the inside and outside membrane. The other factor is the existence of the selectivity filter equipped in the exit of channel pore, which enables the movement of the K⁺ ions. Not only are potassium ions present in the channel but also sodium ions. Potassium and sodium ions are the ions that are essential in the conductivity of a cell because of their charge. An intuitive idea about why K⁺ ions are at least 10,000 times more permeant than Na⁺ ions is presented in various entities. The hypothesis is that the selectivity ratio is probably related to the successive entry of Na⁺ ions, based on the premise that the ratio seems to be relevant to unpredictable quantities caused by Brownian corrosion of ions.

Motivated by a common Mathematical Finance topic, this paper surveys several results concerning windings of 2-dimensional processes, including planar Brownian motion, complex-valued Ornstein-Uhlenbeck processes and planar stable processes. In particular, we present Spitzer's asymptotic Theorem for each case. We also relate this study to the pricing of Asian options.

This article provides exact analytical formulae for various kinds of rainbow step barrier options. These are highly flexible and sophisticated multi-asset barrier options based on the following principle : the option life is divided into several time intervals on which different barriers are monitored w.r.t. different underlying assets. From a mathematical point of view, new formulae are provided for the first passage time of a multidimensional geometric Brownian motion to a boundary defined as a step function. The article shows how to implement the obtained valuation formulae in a simple and very efficient manner. Numerical results highlight a strong sensitivity of rainbow step barrier options to the correlations between the underlying assets.

Experiments to measure a single molecule/particle, i.e. an individual molecule/particle, at room temperature or under physiological conditions without immobilization, for example on a surface, or without significant hydrodynamic flow have so far failed. This failure has given impetus to the underlying theory of Brownian molecular motion towards its stochastics due to diffusion. Quantifying the thermodynamic jitter of molecules/particles inspires many and forms the theoretical basis of single-molecule/single-particle biophysics and biochemistry. For the first time, our simulation results for a live cell (cytoplasm) show that the tracks of individual single molecules are localized in Brownian motion, while there is fanning out in fractal diffusion (anomalous diffusion).

Experiments to measure a single molecule/particle, i.e. an individual molecule/particle, at room temperature or under physiological conditions without immobilization, for example on a surface, or without significant hydrodynamic flow have so far failed. This failure has given impetus to the underlying theory of Brownian molecular motion towards its stochastics due to diffusion. Quantifying the thermodynamic jitter of molecules/particles inspires many and forms the theoretical basis of single-molecule/single-particle biophysics and biochemistry. For the first time, our simulation results for a live cell (cytoplasm) show that the tracks of individual single molecules are localized in Brownian motion, while there is fanning out in fractal diffusion (anomalous diffusion).

Research for a theory of quantum gravity has recently led to the use of presheaf topos. Quantum uncertainty is linked to the truth values of intuitionistic logic. This paper proposes transposing this model into a classic probability context, that of conditional mathematical expectations. A simulation of Brownian motion is offered for illustrative purposes.