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We show that the codifference is a useful tool in studying the ergodicity breaking and non-Gaussianity properties of stochastic time series. While the codifference is a measure of dependence that was previously studied mainly in the context of stable processes, we here extend its range of applicability to random-parameter and diffusing-diffusivity models which are important in contemporary physics, biology and financial engineering. We prove that the codifference detects forms of dependence and ergodicity breaking which are not visible from analysing the covariance and correlation functions. We also discuss a related measure of dispersion, which is a nonlinear analogue of the mean squared displacement.
Recent advances in single particle tracking and supercomputing techniques demonstrate the emergence of normal or anomalous, viscoelastic diffusion in conjunction with non-Gaussian distributions in soft, biological, and active matter systems. We here formulate a stochastic model based on a generalised Langevin equation in which non-Gaussian shapes of the probability density function and normal or anomalous diffusion have a common origin, namely a random parametrisation of the stochastic force. We perform a detailed analysis demonstrating how various types of parameter distributions for the memory kernel result in exponential, power law, or power-log law tails of the memory functions. The studied system is also shown to exhibit a further unusual property: the velocity has a Gaussian one point probability density but non-Gaussian joint distributions. This behaviour is reflected in the relaxation from a Gaussian to a non-Gaussian distribution observed for the position variable. We show that our theoretical results are in excellent agreement with stochastic simulations.
Many studies on biological and soft matter systems report the joint presence of a linear mean-squared displacement and a non-Gaussian probability density exhibiting, for instance, exponential or stretched-Gaussian tails. This phenomenon is ascribed to the heterogeneity of the medium and is captured by random parameter models such as ‘superstatistics’ or ‘diffusing diffusivity’. Independently, scientists working in the area of time series analysis and statistics have studied a class of discrete-time processes with similar properties, namely, random coefficient autoregressive models. In this work we try to reconcile these two approaches and thus provide a bridge between physical stochastic processes and autoregressive models.Westart from the basic Langevin equation of motion with time-varying damping or diffusion coefficients and establish the link to random coefficient autoregressive processes. By exploring that link we gain access to efficient statistical methods which can help to identify data exhibiting Brownian yet non-Gaussian diffusion.
Die vorliegende Arbeit beschäftigt sich mit der Charakterisierung von Seismizität anhand von Erdbebenkatalogen. Es werden neue Verfahren der Datenanalyse entwickelt, die Aufschluss darüber geben sollen, ob der seismischen Dynamik ein stochastischer oder ein deterministischer Prozess zugrunde liegt und was daraus für die Vorhersagbarkeit starker Erdbeben folgt. Es wird gezeigt, dass seismisch aktive Regionen häufig durch nichtlinearen Determinismus gekennzeichent sind. Dies schließt zumindest die Möglichkeit einer Kurzzeitvorhersage ein. Das Auftreten seismischer Ruhe wird häufig als Vorläuferphaenomen für starke Erdbeben gedeutet. Es wird eine neue Methode präsentiert, die eine systematische raumzeitliche Kartierung seismischer Ruhephasen ermöglicht. Die statistische Signifikanz wird mit Hilfe des Konzeptes der Ersatzdaten bestimmt. Als Resultat erhält man deutliche Korrelationen zwischen seismischen Ruheperioden und starken Erdbeben. Gleichwohl ist die Signifikanz dafür nicht hoch genug, um eine Vorhersage im Sinne einer Aussage über den Ort, die Zeit und die Stärke eines zu erwartenden Hauptbebens zu ermöglichen.
The occurrence of earthquakes is characterized by a high degree of spatiotemporal complexity. Although numerous patterns, e.g. fore- and aftershock sequences, are well-known, the underlying mechanisms are not observable and thus not understood. Because the recurrence times of large earthquakes are usually decades or centuries, the number of such events in corresponding data sets is too small to draw conclusions with reasonable statistical significance. Therefore, the present study combines both, numerical modeling and analysis of real data in order to unveil the relationships between physical mechanisms and observational quantities. The key hypothesis is the validity of the so-called "critical point concept" for earthquakes, which assumes large earthquakes to occur as phase transitions in a spatially extended many-particle system, similar to percolation models. New concepts are developed to detect critical states in simulated and in natural data sets. The results indicate that important features of seismicity like the frequency-size distribution and the temporal clustering of earthquakes depend on frictional and structural fault parameters. In particular, the degree of quenched spatial disorder (the "roughness") of a fault zone determines whether large earthquakes occur quasiperiodically or more clustered. This illustrates the power of numerical models in order to identify regions in parameter space, which are relevant for natural seismicity. The critical point concept is verified for both, synthetic and natural seismicity, in terms of a critical state which precedes a large earthquake: a gradual roughening of the (unobservable) stress field leads to a scale-free (observable) frequency-size distribution. Furthermore, the growth of the spatial correlation length and the acceleration of the seismic energy release prior to large events is found. The predictive power of these precursors is, however, limited. Instead of forecasting time, location, and magnitude of individual events, a contribution to a broad multiparameter approach is encouraging.
In this work, some new results to exploit the recurrence properties of quasiperiodic dynamical systems are presented by means of a two dimensional visualization technique, Recurrence Plots(RPs). Quasiperiodicity is the simplest form of dynamics exhibiting nontrivial recurrences, which are common in many nonlinear systems. The concept of recurrence was introduced to study the restricted three body problem and it is very useful for the characterization of nonlinear systems. I have analyzed in detail the recurrence patterns of systems with quasiperiodic dynamics both analytically and numerically. Based on a theoretical analysis, I have proposed a new procedure to distinguish quasiperiodic dynamics from chaos. This algorithm is particular useful in the analysis of short time series. Furthermore, this approach demonstrates to be efficient in recognizing regular and chaotic trajectories of dynamical systems with mixed phase space. Regarding the application to real situations, I have shown the capability and validity of this method by analyzing time series from fluid experiments.
This work incorporates three treatises which are commonly concerned with a stochastic theory of the Lyapunov exponents. With the help of this theory universal scaling laws are investigated which appear in coupled chaotic and disordered systems. First, two continuous-time stochastic models for weakly coupled chaotic systems are introduced to study the scaling of the Lyapunov exponents with the coupling strength (coupling sensitivity of chaos). By means of the the Fokker-Planck formalism scaling relations are derived, which are confirmed by results of numerical simulations. Next, coupling sensitivity is shown to exist for coupled disordered chains, where it appears as a singular increase of the localization length. Numerical findings for coupled Anderson models are confirmed by analytic results for coupled continuous-space Schrödinger equations. The resulting scaling relation of the localization length resembles the scaling of the Lyapunov exponent of coupled chaotic systems. Finally, the statistics of the exponential growth rate of the linear oscillator with parametric noise are studied. It is shown that the distribution of the finite-time Lyapunov exponent deviates from a Gaussian one. By means of the generalized Lyapunov exponents the parameter range is determined where the non-Gaussian part of the distribution is significant and multiscaling becomes essential.
Two-dimensional bouyancy-driven convection in a horizontal fluid layer with stress-free boundary conditions at top and bottom and periodic boundary conditions in the horizontal direction is investigated by means of numerical simulation and bifurcation-analysis techniques. As the bouyancy forces increase, the primary stationary and symmetric convection rolls undergo successive Hopf bifurcations, bifurcations to traveling waves, and phase lockings. We pay attention to symmetry breaking and its connection with the generation of large-scale horizontal flows. Calculations of Lyapunov exponents indicate that at a Rayleigh number of 2.3×105 no temporal chaos is reached yet, but the system moves nonchaotically on a 4-torus in phase space.
Concerns have been raised that anthropogenic climate change could lead to large-scale singular climate events, i.e., abrupt nonlinear climate changes with repercussions on regional to global scales. One central goal of this thesis is the development of models of two representative components of the climate system that could exhibit singular behavior: the Atlantic thermohaline circulation (THC) and the Indian monsoon. These models are conceived so as to fulfill the main requirements of integrated assessment modeling, i.e., reliability, computational efficiency, transparency and flexibility. The model of the THC is an interhemispheric four-box model calibrated against data generated with a coupled climate model of intermediate complexity. It is designed to be driven by global mean temperature change which is translated into regional fluxes of heat and freshwater through a linear down-scaling procedure. Results of a large number of transient climate change simulations indicate that the reduced-form THC model is able to emulate key features of the behavior of comprehensive climate models such as the sensitivity of the THC to the amount, regional distribution and rate of change in the heat and freshwater fluxes. The Indian monsoon is described by a novel one-dimensional box model of the tropical atmosphere. It includes representations of the radiative and surface fluxes, the hydrological cycle and surface hydrology. Despite its high degree of idealization, the model satisfactorily captures relevant aspects of the observed monsoon dynamics, such as the annual course of precipitation and the onset and withdrawal of the summer monsoon. Also, the model exhibits the sensitivity to changes in greenhouse gas and sulfate aerosol concentrations that are known from comprehensive models. A simplified version of the monsoon model is employed for the identification of changes in the qualitative system behavior against changes in boundary conditions. The most notable result is that under summer conditions a saddle-node bifurcation occurs at critical values of the planetary albedo or insolation. Furthermore, the system exhibits two stable equilibria: besides the wet summer monsoon, a stable state exists which is characterized by a weak hydrological cycle. These results are remarkable insofar, as they indicate that anthropogenic perturbations of the planetary albedo such as sulfur emissions and/or land-use changes could destabilize the Indian summer monsoon. The reduced-form THC model is employed in an exemplary integrated assessment application. Drawing on the conceptual and methodological framework of the tolerable windows approach, emissions corridors (i.e., admissible ranges of CO2- emissions) are derived that limit the risk of a THC collapse while considering expectations about the socio-economically acceptable pace of emissions reductions. Results indicate, for example, a large dependency of the width of the emissions corridor on climate and hydrological sensitivity: for low values of climate and/or hydrological sensitivity, the corridor boundaries are far from being transgressed by any plausible emissions scenario for the 21st century. In contrast, for high values of both quantities low non-intervention scenarios leave the corridor already in the early decades of the 21st century. This implies that if the risk of a THC collapse is to be kept low, business-as-usual paths would need to be abandoned within the next two decades. All in all, this thesis highlights the value of reduced-form modeling by presenting a number of applications of this class of models, ranging from sensitivity and bifurcation analysis to integrated assessment. The results achieved and conclusions drawn provide a useful contribution to the scientific and policy debate about the consequences of anthropogenic climate change and the long-term goals of climate protection. --- Anmerkung: Die Autorin ist Trägerin des von der Mathematisch-Naturwissenschaftlichen Fakultät der Universität Potsdam vergebenen Michelson-Preises für die beste Promotion des Jahres 2003/2004.
Organic photovoltaics based on non-fullerene acceptors (NFAs) show record efficiency of 16 to 17% and increased photovoltage owing to the low driving force for interfacial charge-transfer. However, the low driving force potentially slows down charge generation, leading to a tradeoff between voltage and current. Here, we disentangle the intrinsic charge-transfer rates from morphology-dependent exciton diffusion for a series of polymer:NFA systems. Moreover, we establish the influence of the interfacial energetics on the electron and hole transfer rates separately. We demonstrate that charge-transfer timescales remain at a few hundred femtoseconds even at near-zero driving force, which is consistent with the rates predicted by Marcus theory in the normal region, at moderate electronic coupling and at low re-organization energy. Thus, in the design of highly efficient devices, the energy offset at the donor:acceptor interface can be minimized without jeopardizing the charge-transfer rate and without concerns about a current-voltage tradeoff.