PHY560A - Complex systems

The goal of this course on ``Complex Systems'' and advanced statistical physics is to show how the concepts and techniques developed in  statistical mechanics and probability theory can be relevant to study the emergence of complexity from  collective and stochastic behaviour. The lectures will put the emphasis on some key ideas such as scaling,  universality, Brownian motion and criticality and explain how elementary  models, that often present isomorphic mathematical structures, can be applied to many different fields. These ideas will be illustrated on examples from  random geometry, growth processes, critical phenomena,  genetic models, network  percolation,  information  coding and finance.

 

  1. UNIVERSALITY AND SCALING: a probabilistic approach.

  We study the  emergence of universal scaling laws  in probability  theory: Law of Large Numbers, Central Limit Theorem, the Levy-stable distributions.  The  limiting distributions  of the Maximum and

Minimum of independent identical random variables. Introduction to Random Matrices (Wigner's Law).

 

  1. BROWNIAN MOTION, LANGEVIN EQUATION AND PATH INTEGRALS.

  After reviewing the Brownian Motion (from the physics point of view), simple Stochastic Differential Equations (SDE) are introduced and analyzed.  The Wiener Measure and Path Integrals, one of the most important tool for  analysis and contemporary physics, are defined.  We then apply these techniques to a simple financial model and to derive Arrhenius'Law.

 

  1. RANDOM GEOMETRY AND FRACTALS.

  Fractals are geometric objects that can have non-integral dimensions and display naturally scaling properties. Adding randomness allows one to define a whole class of stochastic processes that generalize the Brownian Motion and can be used to describe temporal series appearing various contexts (geological data, finance...).

 

  1. STOCHASTIC DYNAMICS.

 The goal of this more mathematical chapter is to study the reversibility properties of Markov Processes and to derive the diffusion equations associated with an SDE.  Applications to the growth  of Random Landscapes will be given.

  1. INTRODUCTION TO INFORMATION THEORY.

Basic concepts of Information and Communication Theory: entropy, coding, transmission, models of noisy channels,  mutual information and  capacity. Various interpretations of Shannon's entropy are

given and Shannon's  noisy-channel coding theorem is proved.

  1. DISORDERED SYSTEMS.

  Statistical mechanics of disordered systems develops a variety of original concepts and techniques, ranging from combinatorial optimization to engineering, with applications in solid state physics (quantum conduction, localization), biology (protein folding, neural networks) and  population dynamics.  We shall discuss the  basic properties of spin glasses  (frustration, complex landscape and aging) and present some specific theoretical tools of the field.

 

 

  1. CRITICAL PHENOMENA and THE RENORMALISATION GROUP.

  After reviewing  various second order critical phenomena  (liquid-gas, ferromagnetic-paramagnetic), we  explain how various universality classes can be defined through critical exponents that characterize scaling behaviour. The basic ideas of Ken Wilson's renormalisation group will be presented, in real space, and we shall  explain how the  critical exponents can be related to  independent scaling dimensions, that correspond to relevant fields (two in general). This theory will be illustrated on the 2d Ising model on a triangular  lattice).

 

  1. NETWORKS.

Network theory has provided a new paradigm to represent and analyze data. Its roots lie in  graph theory. Elementary combinatorial properties of graphs (Cayley theorem, Pr\ufer sequence) will be discussed. We shall then consider  Branching tree processes (Galton's model) and Random Recursive Trees. This will allow us to study  scale-free networks and  their connectivity properties.  Application: the percolation transition in the Erdos-Renyi graph.

 

  1. MODELS FOR FINANCE.

 Phenomenology of financial markets; the Bachelier model. Statistics of prices and intermittency. Options and derivatives: the Black-Scholes strategy. Analysis of the discrete time Cox, Ross and  Rubinstein model and its  continuous limit: the Black, Scholes and Merton Pricing formula.



Preriquisite : PHY433 - Physique statistique

Language : English

Credits ECTS : 5