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  • ZIB Catalog
  • Articles: DFG German National Licenses  (3)
  • 2010-2014
  • 2000-2004  (3)
  • 1920-1924
  • 2002  (3)
  • PACS. 75.50.Lk Spin glasses and other random magnets – 05.70.Fh Phase transitions: general studies – 64.70.Pf Glass transitions  (2)
  • PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems  (1)
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  • ZIB Catalog
  • Articles: DFG German National Licenses  (3)
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  • 2010-2014
  • 2000-2004  (3)
  • 1920-1924
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  • 2002  (3)
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  • 1
    Electronic Resource
    Electronic Resource
    Deviations from perfect memory in spin glass temperature cycling experiments (2002)
    Springer
    The European physical journal 29 (2002), S. 469-479 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 75.50.Lk Spin glasses and other random magnets – 05.70.Fh Phase transitions: general studies – 64.70.Pf Glass transitions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We study the deviations from perfect memory in negative temperature cycle spin glass experiments. It is known that the a.c. susceptibility after the temperature is raised back to its initial value is superimposed to the reference isothermal curve for large enough temperature jumps ΔT (perfect memory). For smaller ΔT, the deviation from this perfect memory has a striking non monotonous behavior: the `memory anomaly' is negative for small ΔT's, becomes positive for intermediate ΔT's, before vanishing for still larger ΔT's. We show that this interesting behavior can be reproduced by simple Random Energy trap models. We discuss an alternative interpretation in terms of droplets and temperature chaos.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2002-00327-2
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Efficient option pricing with path integral (2002)
    Springer
    The European physical journal 27 (2002), S. 249-255 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 89.75.-k Complex systems
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those with path-dependent and early exercise features. As examples, the application of the method to European and American options in the Black-Scholes model is illustrated. The results of the algorithm are compared with those obtained with the standard procedures known in the literature and found to be in good agreement.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e20020147
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    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Chaotic temperature dependence in a model of spin glasses (2002)
    Springer
    The European physical journal 28 (2002), S. 199-208 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 75.50.Lk Spin glasses and other random magnets – 05.70.Fh Phase transitions: general studies – 64.70.Pf Glass transitions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We address the problem of chaotic temperature dependence in disordered glassy systems at equilibrium by following states of a random-energy random-entropy model in temperature; of particular interest are the crossings of the free-energies of these states. We find that this model exhibits strong, weak or no temperature chaos depending on the value of an exponent. This allows us to write a general criterion for temperature chaos in disordered systems, predicting the presence of temperature chaos in the Sherrington-Kirkpatrick and Edwards-Anderson spin glass models, albeit when the number of spins is large enough. The absence of chaos for smaller systems may justify why it is difficult to observe chaos with current simulations. We also illustrate our findings by studying temperature chaos in the naıve mean field equations for the Edwards-Anderson spin glass.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2002-00221-y
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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