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Scott Robertson

Publications and source records attributed to Scott Robertson.

At least 37 records · Page 2Linked to original sources

Accelerated Steady-State Electrostatic Particle-in-Cell Simulation of Langmuir Probes

First-principles particle-in-cell (PIC) simulation is a powerful tool for understanding plasma behavior, but this power often comes at great computational expense. Artificially reducing the ion/electron mass ratio is a time-honored practice to reduce simulation costs. Usually, this is a severe approximation. However, for steady-state collisionless, electrostatic (Vlasov-Poisson) systems, the solution with reduced mass ratio can be scaled to the solution for the real mass ratio, with no approximation. This 'scaled mass' method, which works with already-existing PIC codes, can reduce the computation time for a large class of electrostatic PIC simulations by the square root of the mass ratio. The particle distributions of the resulting steady state must be trivially rescaled to yield the true distributions, but the self-consistent electrostatic field is independent of the mass ratio. This method is equivalent to 'numerical timestepping,' an approach that evolves electron and ion populations with different timesteps. Numerical timestepping can be viewed as a special case of the speed-limited PIC (SLPIC) method, which is not restricted to steady-state phenomena. Although the scaled-mass approach is simplest, numerical timestepping and SLPIC more easily generalize to include other effects, such as collisions. The equivalence of these new approaches is demonstrated by applying them to simulate a cylindrical Langmuir probe in electron-argon plasma, speeding up simulation by two orders of magnitude. Methods such as SLPIC can therefore play an invaluable role in interpreting probe measurements by including geometric effects, collisions, secondary emission, and non-Maxwellian distributions.

physics.plasm-ph↗

The DeLLight experiment to observe an optically-induced change of the vacuum index

Quantum electrodynamics predicts that the vacuum must behave as a nonlinear optical medium: the speed of light should be modified when the vacuum is stressed by intense electromagnetic fields. This optical phenomenon has not yet been observed. The DeLLight (Deflection of Light by Light) experiment aims to observe the optically-induced index change of vacuum, a nonlinear effect which has never been explored. The experiment is installed in the LASERIX facility at IJCLab, which delivers ultra-short intense laser pulses (2.5 J per pulse, each of 30 fs duration, with a 10 Hz repetition rate). The proposal is to measure the refraction of a probe laser pulse when crossing a transverse vacuum index gradient, produced by a very intense pump pulse. The refraction induces a transverse shift in the intensity profile of the probe, whose signal is amplified by a Sagnac interferometer. In this article, we describe the experimental method and setup, and present the complete theoretical calculations for the expected signal. With a minimum waist at focus of $5 \,μ$m (corresponding to a maximum intensity of $\sim 3 \times 10^{20}$ W/cm$^2$), and with the nonlinear vacuum index derived from QED, the expected refraction angle is 0.13 prad. First results of the interferometer prototype are presented. It is shown that an extinction factor $\mathcal{F} = 0.4 \times 10^{-5}$ (corresponding to a signal amplification factor of 250) and a spatial resolution $σ_y = 10$ nm are achievable. The expected signal is then about 15 pm, and could be observed at a 5-sigma confidence level with about one month of collected data.

physics.optics↗

Scattering of co-current surface waves on an analogue black hole

We report on what is to our knowledge the first scattering experiment of surface waves on an accelerating transcritical flow, which in the Analogue Gravity context is described by an effective spacetime with a black-hole horizon. This spacetime has been probed by an incident co-current wave, which partially scatters into an outgoing counter-current wave on each side of the horizon. The measured scattering amplitudes are compatible with the predictions of the hydrodynamical theory, where the kinematical description in terms of the effective metric is exact.

gr-qc↗

Optical Kerr effect in vacuum

From an effective field theory of electromagnetism in vacuum including all lowest-order nonlinear terms consistent with Lorentz invariance and locality of photon/photon interactions, we derive an effective medium description of strong background fields as regards their influence on a weak probe. We mainly consider as background a pump beam with well-defined wave vector and polarization. This leads us to define a nonlinear index of vacuum which, in the Euler-Heisenberg model derived from QED, has an optimal value of $1.555 \times 10^{-33} \, {\rm cm}^{2}/{\rm W}$ for a linearly polarized pump as seen by a counter-propagating, orthogonally polarized probe. We further generalize the model to include coupling to an axion field. In the limit where the axion mass is much smaller than the typical photon energy, this yields dispersive corrections, and the axionic signature is found to be greatly enhanced for a circularly polarized pump as compared to a linearly polarized one. The formalism here presented points to a simplification of the DeLLight experiment [X. Sarazin et al., Eur. Phys. J. D 70, 13 (2016)] aiming to measure the deflection of a probe by a tightly focused laser pulse.

physics.optics↗

Four-wave mixing and enhanced analogue Hawking effect in a nonlinear optical waveguide

We study in detail the scattering of light on a soliton propagating in a waveguide which has been proposed as an experimental system in which one could observe the analogue Hawking effect. When not applying the rotating wave approximation, we show that the linearized wave equation governing perturbations has the same structure as that governing phonon propagation in an atomic Bose condensate. By taking into account the full dispersion relation, we then show that the scattering coefficients encoding the production of photon pairs are amplified by a resonance effect related to the modulation instability occurring in the presence of a continuous wave. When using a realistic example of a silicon nitride waveguide on a silica substrate, we find that a soliton of duration 10 fs would spontaneously emit about one photon pair for every cm it travels, which makes the effect readily observable. This result is confirmed by numerically solving the equation encoding the Kerr nonlinearity and governing the evolution of the full field (soliton plus perturbations). We discuss the link with previous works devoted to the analogue Hawking effect where the pair creation rates were about six orders of magnitude smaller.

physics.optics↗

Optimal Investment, Demand and Arbitrage under Price Impact

This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules and demand schedules for contingent claims. For exponential market makers preferences, we establish two effects due to price impact: constrained trading, and non-linear hedging costs. To the former, wealth processes in the impact model are identified with those in a model without impact, but with constrained trading, where the (random) constraint set is generically neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the claim. We provide three such notions, which coincide in the frictionless case, but which dramatically differ in the presence of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage inducing prices may arise endogenously in equilibrium, and that equilibrium positions are inversely proportional to the market makers' representative risk aversion. Therefore, large positions endogenously arise in the limit of either market maker risk neutrality, or a large number of market makers.

q-fin.MF↗

Nonlinearities induced by parametric resonance in effectively 1D atomic Bose condensates

We present a numerical study of the dynamical effects following a sudden change of the transverse trapping frequency in an elongated Bose-Einstein condensate, which induces periodic oscillations of the radial density. At early times, we observe an exponential growth of the number of resonant longitudinal phonons, in agreement with the predictions of the Bogoliubov-de Gennes treatment. We then observe an ordered sequence of phenomena induced by the nonlinearities of the system. The first is a loss of the nonseparability of the resonant phonon pairs. This is followed by the saturation of the exponential growth and a strong depletion of condensed atoms. Notably, these effects are well-described by effective 1D dynamics, and are hardly affected by the damping of the radial oscillations. Finally, the atomic spectrum becomes broad, featureless and almost incoherent, in agreement with experimental results. The link between this sequence of events and the preheating scenario in inflationary cosmology is striking, as is the similarity of techniques used to study them.

cond-mat.quant-gas↗

Gravity waves on modulated flows downstream from an obstacle: The transcritical case

Periodic spatial variations of some parameter arise in analogue gravity experiments aimed at detecting the analogue version of the Hawking effect in a white hole flow. Having the same spatial periodicity as low-frequency dispersive modes, they can induce resonances which significantly modify the scattering coefficients. This has been shown numerically in a previous work [X. Busch et al., Phys. Rev. D 90, 105005 (2014)], but the precise dependence of the low-frequency effective temperature on the amplitude and length of the undulation remains elusive. In this article, using the Korteweg-de Vries equation, we explicitly compute this dependence in the small-amplitude limit and find three regimes of "short", "intermediate" and "long" undulations showing different scaling laws. In the latter, the effective temperature is completely determined by the properties of the undulation, independently of the surface gravity of the analogue white hole flow. These results are extended to a more realistic hydrodynamical model in an appendix.

gr-qc↗

Viscous dissipation of surface waves and its relevance to analogue gravity experiments

We consider dissipation of surface waves on fluids, with a view to its effects on analogue gravity experiments. We begin by reviewing some general properties of wave dissipation, before restricting our attention to surface waves and the dissipative role played by viscosity there. Finally, with particular focus on water, we consider several experimental setups inspired by analogue gravity: the analogue Hawking effect, the black hole laser, the analogue wormhole, and double bouncing at the wormhole entrance. Dissipative effects are considered in each, and we give estimates for their optimized experimental parameters.

physics.flu-dyn↗

Ergodic robust maximization of asymptotic growth

We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where additionally the assets are stable in that their occupancy time measures converge to a law with density $p$. This latter assumption is motivated by the observed stability of ranked relative market capitalizations for equity markets. We seek to identify the robust optimal growth rate, as well as a trading strategy which achieves this rate in all models. Under minimal assumptions upon $(E,c,p)$, we identify the robust growth rate with the Donsker-Varadhan rate function from occupancy time Large Deviations theory. We also prove existence of, and explicitly identify, the optimal trading strategy. We then apply our results in the case of drift uncertainty for ranked relative market capitalizations. Assuming regularity under symmetrization for the covariance and limiting density of the ranked capitalizations, we explicitly identify the robust optimal trading strategy in this setting.

q-fin.PM↗

Controlling and observing nonseparability of phonons created in time-dependent 1D atomic Bose condensates

We study the spectrum and entanglement of phonons produced by temporal changes in homogeneous one-dimensional atomic condensates. To characterize the experimentally accessible changes, we first consider the dynamics of the condensate when varying the radial trapping frequency, separately studying two regimes: an adiabatic one and an oscillatory one. Working in momentum space, we then show that in situ measurements of the density-density correlation function can be used to assess the nonseparability of the phonon state after such changes. We also study time-of-flight (TOF) measurements, paying particular attention to the role played by the adiabaticity of opening the trap on the nonseparability of the final state of atoms. In both cases, we emphasize that commuting measurements can suffice to assess nonseparability. Some recent observations are analyzed, and we make proposals for future experiments.

cond-mat.quant-gas↗

Assessing degrees of entanglement of phonon states in atomic Bose gases through the measurement of commuting observables

We show that measuring commuting observables can be sufficient to assess that a bipartite state is entangled according to either nonseparability or the stronger criterion of 'steerability'. Indeed, the measurement of a single observable might reveal the strength of the interferences between the two subsystems, as if an interferometer were used. For definiteness we focus on the two-point correlation function of density fluctuations obtained by in situ measurements in homogeneous one-dimensional cold atomic Bose gases. We then compare this situation to that found in transonic stationary flows mimicking a black hole geometry where correlated phonon pairs are emitted on either side of the sonic horizon by the analogue Hawking effect. We briefly apply our considerations to two recent experiments.

cond-mat.quant-gas↗

Optimal Investment and Pricing in the Presence of Defaults

We consider the optimal investment problem when the traded asset may default, causing a jump in its price. For an investor with constant absolute risk aversion, we compute indifference prices for defaultable bonds, as well as a price for dynamic protection against default. For the latter problem, our work complements Sircar & Zariphopoulou (2007), where it is implicitly assumed the investor is protected against default. We consider a factor model where the asset's instantaneous return, variance, correlation and default intensity are driven by a time-homogenous diffusion X taking values in an arbitrary region E. We identify the certainty equivalent with a semi-linear degenerate elliptic partial differential equation with quadratic growth in both function and gradient. Under a minimal integrability assumption on the market price of risk, we show the certainty equivalent is a classical solution. In particular, our results cover when X is a one-dimensional affine diffusion and when returns, variances and default intensities are also affine. Numerical examples highlight the relationship between the factor process and both the indifference price and default insurance. Lastly, we show the insurance protection price is not the default intensity under the dual optimal measure.

q-fin.MF↗

The pricing of contingent claims and optimal positions in asymptotically complete markets

We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors and/or risk aversion. Assuming that the average indifference price converges to a well defined limit, we prove that optimally taken positions become large in absolute value at a specific rate. We draw motivation from and make connections to Large Deviations theory, and in particular, the celebrated Gärtner-Ellis theorem. We analyze a series of well studied examples where this limiting behavior occurs, such as fixed markets with vanishing risk aversion, the basis risk model with high correlation, models of large markets with vanishing trading restrictions and the Black-Scholes-Merton model with either vanishing default probabilities or vanishing transaction costs. Lastly, we show that the large claim regime could naturally arise in partial equilibrium models.

q-fin.MF↗

Scattering of gravity waves in subcritical flows over an obstacle

We numerically study the scattering coefficients of linear water waves on stationary flows above a localized obstacle. We compare the scattering on trans- and subcritical flows, and then focus on the latter which have been used in recent analog gravity experiments. The main difference concerns the magnitude of the mode amplification: whereas transcritical flows display a large amplification (which is generally in good agreement with the Hawking prediction), this effect is heavily suppressed in subcritical flows. This is due to the transmission across the obstacle for frequencies less than some critical value. As a result, subcritical flows display high- and low-frequency behaviors separated by a narrow band around the critical frequency. In the low-frequency regime, transmission of long wavelengths is accompanied by non-adiabatic scattering into short wavelengths, whose spectrum is approximately linear in frequency. By contrast, in the high-frequency regime, no simple description seems to exist. In particular, for obstacles similar to those recently used, we observe that the upstream slope still affects the scattering on the downstream side because of some residual transmission.

gr-qc↗

Indifference pricing for Contingent Claims: Large Deviations Effects

We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors. We make connections with the theory of large deviations. We concentrate on sequences of semi-complete markets where in the $n^{th}$ market, the claim $B_n$ admits the decomposition $B_n = D_n+Y_n$. Here, $D_n$ is replicable by trading in the underlying assets $S_n$, but $Y_n$ is independent of $S_n$. Under broad conditions, we may assume that $Y_n$ vanishes in accordance with a large deviations principle as $n$ grows. In this setting, for an exponential investor, we identify the limit of the average indifference price $p_n(q_n)$, for $q_n$ units of $B_n$, as $n\rightarrow \infty$. We show that if $|q_n|\rightarrow\infty$, the limiting price typically differs from the price obtained by assuming bounded positions $\sup_n|q_n|<\infty$, and the difference is explicitly identifiable using large deviations theory. Furthermore, we show that optimal purchase quantities occur at the large deviations scaling, and hence large positions arise endogenously in this setting.

math.PR↗

Continuous-time perpetuities and time reversal of diffusions

We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model. Two approaches are used to obtain the distribution. The first identifies a partial differential equation for the conditional cumulative distribution function of the perpetuity given the initial factor value, which under certain conditions ensures the existence of a density for the perpetuity. The second (and more general) approach, identifies the joint law as the stationary distribution of an ergodic multi-dimensional diffusion using techniques of time reversal. This later approach allows for efficient use of Monte-Carlo simulation when estimating the distribution, as the distribution is obtained by sampling a single path of the reversed process.

math.PR↗

Endogenous Current Coupons

We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the current coupon with solutions to a degenerate elliptic, non-linear fixed point problem. Using Schaefer's theorem we prove existence of current coupons. We also provide an explicit approximation to the fixed point, valid for compact perturbations off a baseline factor-based intensity model. Numerical examples are provided which show the approximation performs remarkably well in estimating the current coupon.

q-fin.PR↗