Stochastic processes with memory: Augmented toolbox for data analysis

Authors

Christopher C. Bernido ⋅ PH Research Center for Theoretical Physics, Central Visayan Institute Foundation

Abstract

Rapid increase in computational power has allowed extraction of valuable insights on our environment aided by visualization of large datasets in terms of connectivity, graphs, histograms, and time series, among others. Analytical modelling, however, could further provide deeper understanding of various data-rich natural and social phenomena.
In this talk, we show that a number of complex systems generating seemingly random data x can exhibit interesting patterns when mathematically modeled with time evolution as [1],
x(T) = x₀+ g(T) ∫₀^Tf(T-t) h(t) dB(t),
where x₀ is the initial value and B(t) $ is the Wiener process. Here, the memory function f(T-t) and time-dependent functions h(t) and g(t) are chosen depending on the phenomenon being investigated. This describes a large class of stochastic processes with memory for which the probability density function is obtained exactly. We give as illustrative examples stochastic analysis for large datasets arising from geomagnetic fluctuations, stock market price fluctuations, and diffusion of proteins [2].

[1] C. C. Bernido and M. V. Carpio-Bernido, Methods and Applications of White Noise Analysis in Interdisciplinary Sciences (World Scientific, Singapore, 2014).
[2] W. I. Barredo, C. C. Bernido, M. V. Carpio-Bernido, M. G. O. Escobido, P. J. Ong, R. R. Violanda, A. Yoshikawa, T. Uozumi, S. Abe, and A. Fujimoto, Group Technical Report (2016).

About the Speaker

Christopher C. Bernido, Research Center for Theoretical Physics, Central Visayan Institute Foundation

Christopher C. Bernido is a physicist who is presently the President of the Central Visayan Institute Foundation (CVIF). He obtained his Doctor of Philosophy (Theoretical Physics) in 1982 and Master of Science (Physics) in 1979 from the State University of New York at Albany (SUNYA), and Bachelor of Science (Physics) from the University of the Philippines Diliman (UPD) in 1977. While a graduate student in Albany, he received the Outstanding Teaching Assistant of the Year Award from the physics department of SUNYA. He was conferred the degrees Doctor of Humanities (honoris causa) by the Holy Angel University (2012) and Doctor of Pedagogy (honoris causa) by Ateneo de Naga University (2014).

Chris taught for 17 years at UP Diliman where he got the Chancellor’s Award for Outstanding Researcher and Teacher in 1995. He was the Director of the National Institute of Physics in UP from 1983-1986, and served as President of the Samahang Pisika ng Pilipinas (Physical Society of the Philippines) from 1984-1987. He received in 1987 the Achievement Award in Physics from the National Research Council of the Philippines. In 1989, Chris was named Outstanding Young Scientist by the National Academy of Science and Technology (NAST) of the Philippines and, in 1993, the NAST-TWAS Science Prize in Physics given by the NAST and the Third World Academy of Science (TWAS). In 2005, Chris received the Gregorio Y. Zara Award from the Philippine Association for the Advancement of Science, and the Sikatuna Award from the provincial government of Bohol. He was elected member of the National Academy of Science and Technology of the Philippines in 2007.

Chris was a Research Fellow of the Alexander von Humboldt Foundation in Germany from 1987 to 1989 and, intermittently, an Exchange Scientist in Japan under the joint program of the Department of Science and Technology and the Japan Society for the Promotion of Science from 1983 to 1998. From 1996 to 2001, he was a Senior Associate Member of the International Centre for Theoretical Physics in Italy. He has presented scientific papers and given seminars in Europe, USA, and Asia.

At present Chris, and his wife Maria Victoria, strive to play a dual role in their effort to contribute in the development of the Philippines. As physicists, they founded the Research Center for Theoretical Physics in Jagna, Bohol, which organizes activities for physicists and graduate students in physics and mathematics. They have organized international workshops on advances in theoretical physics in Jagna, Bohol. As educators, they are also very much involved in looking at ways to improve basic education in the Philippines through their CVIF Dynamic Learning Program, which has been adopted by hundreds of schools in the country from elementary to tertiary levels as well as in technical-vocational training institutes. For their joint work, they were given the Gawad Haydee Yorac Award by Meralco and UP in 2009, the Ramon Magsaysay Award in 2010, and the Distinguished Achievement Award of the International Honor Society of Phi Kappa Phi (UP Chapter) in 2013.

Downloads

Issue

2016: Proceedings of the 34th Samahang Pisika ng Pilipinas Physics Conference

Article ID

SPP-2016-PT-1

Section

Invited Presentations

Published

2016-08-18

How to Cite

[1]

CC Bernido, Stochastic processes with memory: Augmented toolbox for data analysis, Proceedings of the Samahang Pisika ng Pilipinas 34, SPP-2016-PT-1 (2016). URL: https://proceedings.spp-online.org/article/view/SPP-2016-PT-1.