Martingales for physicists: A treatise on stochastic thermodynamics and beyond
We review the theory of martingales as applied to stochastic thermodynamics and stochastic processes in physics more generally.
cond-mat.stat-mech↗
arXiv subjects
Izaak Neri
Publications and source records attributed to Izaak Neri.
Multicyclic norias: a first-transition approach to extreme values of the currents
For continuous-time Markov chains we prove that, depending on the notion of effective affinity $F$, the probability of an edge current to ever become negative is either $1$ if $F< 0$ else $\sim \exp - F$. The result generalizes a ``noria'' formula to multicyclic networks. We give operational insights on the effective affinity and compare several estimators, arguing that stopping problems may be more accurate in assessing the nonequilibrium nature of a system according to a local observer. Finally we elaborate on the similarity with the Boltzmann formula. The results are based on a constructive first-transition approach.
cond-mat.stat-mech↗
Local sign stability and its implications for spectra of sparse random graphs and stability of ecosystems
We study the spectral properties of sparse random graphs with different topologies and type of interactions, and their implications on the stability of complex systems, with particular attention to ecosystems. Specifically, we focus on the behaviour of the leading eigenvalue in different type of random matrices (including interaction matrices and Jacobian-like matrices), relevant for the assessment of different types of dynamical stability. By comparing the results on Erdos-Renyi and Husimi graphs with sign-antisymmetric interactions or mixed sign patterns, we introduce a sufficient criterion, called strong local sign stability, for stability not to be affected by system size, as traditionally implied by the complexity-stability trade-off in conventional models of random matrices. The criterion requires sign-antisymmetric or unidirectional interactions and a local structure of the graph such that the number of cycles of finite length do not increase with the system size. Note that the last requirement is stronger than the classical local tree-like condition, which we associate to the less stringent definition of local sign stability, also defined in the paper. In addition, for strong local sign stable graphs which show stability to linear perturbations irrespectively of system size, we observe that the leading eigenvalue can undergo a transition from being real to acquiring a nonnull imaginary part, which implies a dynamical transition from nonoscillatory to oscillatory linear response to perturbations. Lastly, we ascertain the discontinuous nature of this transition.
cond-mat.dis-nn↗
Extreme value statistics of edge currents in Markov jump processes and their use for entropy production estimation
The infimum of an integrated current is its extreme value against the direction of its average flow. Using martingale theory, we show that the infima of integrated edge currents in time-homogeneous Markov jump processes are geometrically distributed, with a mean value determined by the effective affinity measured by a marginal observer that only sees the integrated edge current. In addition, we show that a marginal observer can estimate a finite fraction of the average entropy production rate in the underlying nonequilibrium process from the extreme value statistics in the integrated edge current. The estimated average rate of dissipation obtained in this way equals the above mentioned effective affinity times the average edge current. Moreover, we show that estimates of dissipation based on extreme value statistics can be significantly more accurate than those based on thermodynamic uncertainty ratios, as well as those based on a naive estimator obtained by neglecting nonMarkovian correlations in the Kullback-Leibler divergence of the trajectories of the integrated edge current.
cond-mat.stat-mech↗
Instabilities of complex fluids with partially structured and partially random interactions
We develop a theory for thermodynamic instabilities of complex fluids composed of many interacting chemical species organised in families. This model includes partially structured and partially random interactions and can be solved exactly using tools from random matrix theory. The model exhibits three kinds of fluid instabilities: one in which the species form a condensate with a local density that depends on their family (family condensation); one in which species demix in two phases depending on their family (family demixing); and one in which species demix in a random manner irrespective of their family (random demixing). We determine the critical spinodal density of the three types of instabilities and find that the critical spinodal density is finite for both family condensation and family demixing, while for random demixing the critical spinodal density grows as the square root of the number of species. We use the developed framework to describe phase-separation instability of the cytoplasm induced by a change in pH.
physics.bio-ph↗
Modelling the effect of ribosome mobility on the rate of protein synthesis
Translation is one of the main steps in the synthesis of proteins. It consists of ribosomes that translate sequences of nucleotides encoded on mRNA into polypeptide sequences of amino acids. Ribosomes bound to mRNA move unidirectionally, while unbound ribosomes diffuse in the cytoplasm. It has been hypothesized that finite diffusion of ribosomes plays an important role in ribosome recycling and that mRNA circularization enhances the efficiency of translation. In order to estimate the effect of cytoplasmic diffusion on the rate of translation, we consider a Totally Asymmetric Simple Exclusion Process (TASEP) coupled to a finite diffusive reservoir, which we call the Ribosome Transport model with Diffusion (RTD). In this model, we derive an analytical expression for the rate of protein synthesis as a function of the diffusion constant of ribosomes, which is corroborated with results from continuous-time Monte Carlo simulations. Using a wide range of biological relevant parameters, we conclude that diffusion in biological cells is fast enough so that it does not play a role in controlling the rate of translation initiation.
q-bio.SC↗
Localization and universality of eigenvectors in directed random graphs
Although the spectral properties of random graphs have been a long-standing focus of network theory, the properties of right eigenvectors of directed graphs have so far eluded an exact analytic treatment. We present a general theory for the statistics of the right eigenvector components in directed random graphs with a prescribed degree distribution and with randomly weighted links. We obtain exact analytic expressions for the inverse participation ratio and show that right eigenvectors of directed random graphs with a small average degree are localized. Remarkably, if the fourth moment of the degree distribution is finite, then the critical mean degree of the localization transition is independent of the degree fluctuations, which is different from localization in undirected graphs that is governed by degree fluctuations. We also show that in the high connectivity limit the distribution of the right eigenvector components is solely determined by the degree fluctuations. For delocalized eigenvectors, we recover the universal results from standard random matrix theory that are independent of the degree distribution, while for localized eigenvectors the eigenvector distribution depends on the degree distribution.
cond-mat.dis-nn↗
Integral Fluctuation Relations for Entropy Production at Stopping Times
A stopping time $T$ is the first time when a trajectory of a stochastic process satisfies a specific criterion. In this paper, we use martingale theory to derive the integral fluctuation relation $\langle e^{-S_{\rm tot}(T)}\rangle=1$ for the stochastic entropy production $S_{\rm tot}$ in a stationary physical system at stochastic stopping times $T$. This fluctuation relation implies the law $\langle S_{\rm tot}(T)\rangle\geq 0$, which states that it is not possible to reduce entropy on average, even by stopping a stochastic process at a stopping time, and which we call the second law of thermodynamics at stopping times. This law implies bounds on the average amount of heat and work a system can extract from its environment when stopped at a random time. Furthermore, the integral fluctuation relation implies that certain fluctuations of entropy production are universal or are bounded by universal functions. These universal properties descend from the integral fluctuation relation by selecting appropriate stopping times: for example, when $T$ is a first-passage time for entropy production, then we obtain a bound on the statistics of negative records of entropy production. We illustrate these results on simple models of nonequilibrium systems described by Langevin equations and reveal two interesting phenomena. First, we demonstrate that isothermal mesoscopic systems can extract on average heat from their environment when stopped at a cleverly chosen moment and the second law at stopping times provides a bound on the average extracted heat. Second, we demonstrate that the average efficiency at stopping times of an autonomous stochastic heat engines, such as Feymann's ratchet, can be larger than the Carnot efficiency and the second law of thermodynamics at stopping times provides a bound on the average efficiency at stopping times.
cond-mat.stat-mech↗
Extreme reductions of entropy in an electronic double dot
We experimentally study negative fluctuations of stochastic entropy production in an electronic double dot operating in nonequilibrium steady-state conditions. We record millions of random electron tunneling events at different bias points, thus collecting extensive statistics. We show that for all bias voltages the experimental average values of the minima of stochastic entropy production lie above $-k_B$, where $k_B$ is the Boltzmann constant, in agreement with recent theoretical predictions for nonequilibrium steady states. Furthermore, we also demonstrate that the experimental cumulative distribution of the entropy production minima is bounded, at all times and for all bias voltages, by a universal expression predicted by the theory. We also extend our theory by deriving a general bound for the average value of the maximum heat absorbed by a mesoscopic system from the environment and compare this result with experimental data. Finally, we show by numerical simulations that these results are not necessarily valid under non-stationary conditions.
cond-mat.stat-mech↗
Martingale theory for housekeeping heat
The housekeeping heat is the energy exchanged between a system and its environment in a nonequilibrium process that results from the violation of detailed balance. We describe fluctuations of the housekeeping heat in mesoscopic systems using the theory of martingales, a mathematical framework widely used in probability theory and finance. We show that the exponentiated housekeeping heat (in units of $k_{\rm B}T$, with $k_{\rm B}$ the Boltzmann constant and $T$ the temperature) of a Markovian nonequilibrium process under arbitrary time-dependent driving is a martingale process. From this result, we derive universal equalities and inequalities for the statistics of stopping-times and suprema of the housekeeping heat. We test our results with numerical simulations of a system driven out of equilibrium and described by Langevin dynamics.
cond-mat.stat-mech↗
Testing Optimality of Sequential Decision-Making
This paper provides a statistical method to test whether a system that performs a binary sequential hypothesis test is optimal in the sense of minimizing the average decision times while taking decisions with given reliabilities. The proposed method requires samples of the decision times, the decision outcomes, and the true hypotheses, but does not require knowledge on the statistics of the observations or the properties of the decision-making system. The method is based on fluctuation relations for decision time distributions which are proved for sequential probability ratio tests. These relations follow from the martingale property of probability ratios and hold under fairly general conditions. We illustrate these tests with numerical experiments and discuss potential applications.
cs.IT↗
An Information Theoretic Analysis of Sequential Decision-Making
We provide a novel analysis of Wald's sequential probability ratio test based on information theoretic measures for symmetric thresholds, symmetric noise, and equally likely hypotheses under the assumption that the test exactly terminates at one of the thresholds. This test is optimal in the sense that it yields the minimum mean decision time. To analyze the decision-making process we consider information densities, which represent the stochastic information content of the observations yielding a stochastic termination time of the test. Based on this, we show that the conditional probability to decide for hypothesis $\mathcal{H}_1$ (or the counter-hypothesis $\mathcal{H}_0$) given that the test terminates at time instant $k$ is independent of time $k$. An analogous property has been found for a continuous-time first passage problem with two absorbing boundaries in the contexts of non-equilibrium statistical physics and communication theory. Moreover, we study the evolution of the mutual information between the binary variable to be tested and the output of the Wald test. Notably, we show that the decision time of the Wald test contains no information on which hypothesis is true beyond the decision outcome.
cs.IT↗
Generic Properties of Stochastic Entropy Production
We derive an Ito stochastic differential equation for entropy production in nonequilibrium Langevin processes. Introducing a random-time transformation, entropy production obeys a one-dimensional drift-diffusion equation, independent of the underlying physical model. This transformation allows us to identify generic properties of entropy production. It also leads to an exact uncertainty equality relating the Fano factor of entropy production and the Fano factor of the random time, which we also generalize to non steady-state conditions.
cond-mat.stat-mech↗
Eigenvalue Outliers of non-Hermitian Random Matrices with a Local Tree Structure
Spectra of sparse non-Hermitian random matrices determine the dynamics of complex processes on graphs. Eigenvalue outliers in the spectrum are of particular interest, since they determine the stationary state and the stability of dynamical processes. We present a general and exact theory for the eigenvalue outliers of random matrices with a local tree structure. For adjacency and Laplacian matrices of oriented random graphs, we derive analytical expressions for the eigenvalue outliers, the first moments of the distribution of eigenvector elements associated with an outlier, the support of the spectral density, and the spectral gap. We show that these spectral observables obey universal expressions, which hold for a broad class of oriented random matrices.
cond-mat.stat-mech↗
Statistics of Infima and Stopping Times of Entropy Production and Applications to Active Molecular Processes
We study the statistics of infima, stopping times and passage probabilities of entropy production in nonequilibrium steady states, and show that they are universal. We consider two examples of stopping times: first-passage times of entropy production and waiting times of stochastic processes, which are the times when a system reaches for the first time a given state. Our main results are: (i) the distribution of the global infimum of entropy production is exponential with mean equal to minus Boltzmann's constant; (ii) we find the exact expressions for the passage probabilities of entropy production to reach a given value; (iii) we derive a fluctuation theorem for stopping-time distributions of entropy production. These results have interesting implications for stochastic processes that can be discussed in simple colloidal systems and in active molecular processes. In particular, we show that the timing and statistics of discrete chemical transitions of molecular processes, such as, the steps of molecular motors, are governed by the statistics of entropy production. We also show that the extreme-value statistics of active molecular processes are governed by entropy production, for example, the infimum of entropy production of a motor can be related to the maximal excursion of a motor against the direction of an external force. Using this relation, we make predictions for the distribution of the maximum backtrack depth of RNA polymerases, which follows from our universal results for entropy-production infima.
cond-mat.stat-mech↗
Decision Making in the Arrow of Time
We show that the steady-state entropy production rate of a stochastic process is inversely proportional to the minimal time needed to decide on the direction of the arrow of time. Here we apply Wald's sequential probability ratio test to optimally decide on the direction of time's arrow in stationary Markov processes. Furthermore the steady state entropy production rate can be estimated using mean first-passage times of suitable physical variables. We derive a first-passage time fluctuation theorem which implies that the decision time distributions for correct and wrong decisions are equal. Our results are illustrated by numerical simulations of two simple examples of nonequilibrium processes.
cond-mat.stat-mech↗