Search

Even for simple diffusion processes, treating first-passage problems analytically proves intractable for generic barriers and existing numerical methods are inaccurate and computationally costly. Here, we present a novel numerical method that is faster and has more tightly controlled accuracy. Our algorithm is a probabilistic variant of dichotomic search for the computation of first passage times through non-negative homogeneously Holder continuous boundaries by Gauss-Markov processes. These include the Ornstein-Uhlenbeck process underlying the ubiquitous “leaky integrate-and-fire” model of neuronal excitation. Our method evaluates discrete points in a sample path exactly, and refines this representation recursively only in regions where a passage is rigorously estimated to be probable (e.g. when close to the boundary).

The classical Haar construction of Brownian motion uses a binary tree of triangular wedge-shaped functions. This basis has compactness properties which make it especially suited for certain classes of numerical algorithms. We present a similar basis for the Ornstein-Uhlenbeck process, in which the basis elements approach asymptotically the Haar functions as the index increases, and preserve the following properties of the Haar basis: all basis elements have compact support on an open interval with dyadic rational endpoints; these intervals are nested and become smaller for larger indices of the basis element, and for any dyadic rational, only a finite number of basis elements is nonzero at that number. Thus the expansion in our basis, when evaluated at a dyadic rational, terminates in a finite number of steps. We prove the covariance formulae for our expansion and discuss its statistical interpretation and connections to asymptotic scale invariance., 20 pages, 3 figures

While many papers in the last few years have dealt with various equations euphemistically called “ratchets,” the original Feyman two-temperature setup has been left largely unchallenged. We present here a look at the details of how this famous engine actually generates motion from a temperature difference.

The bulk of studies of coupled oscillators use, as is appropriate in Physics, a global coupling constant controlling all individual interactions. However, because as the coupling is increased, the number of relevant degrees of freedom also increases, this setting conflates the strength of the coupling with the effective dimensionality of the resulting dynamics. We propose a coupling more appropriate to neural circuitry, where synaptic strengths are under biological, activity-dependent control and where the coupling strength and the dimensionality can be controlled separately. Here we study a set of $$N\rightarrow \infty $$ strongly- and nonsymmetrically-coupled, dissipative, powered, rotational dynamical systems, and derive the equations of motion of the reduced system for dimensions 2 and 4. Our setting highlights the statistical structure of the eigenvectors of the connectivity matrix as the fundamental determinant of collective behavior, inheriting from this structure symmetries and singularities absent from the original microscopic dynamics.