Related papers: Stochastic solution of nonlinear and nonhomogeneou…
In this work, we study the pattern solutions of doubly nonlocal logistic map that include spatial kernels in both growth and competition terms. We show that this map includes as a particular case the nonlocal Fisher-Kolmogorov equation, and…
The classical Feynman-Kac identity represents solutions of linear partial differential equations in terms of stochastic differential euqations. This representation has been generalized to nonlinear partial differential equations on the one…
Space-time fractional evolution equations are a powerful tool to model diffusion displaying space-time heterogeneity. We prove existence, uniqueness and stochastic representation of classical solutions for an extension of Caputo evolution…
In this paper we treat semilinear stochastic partial differential equations by two methods. First, we extend the framework of [BDR10] from a Hilbert space to a Gelfand triple and as an application we prove the existence of solutions for the…
The aim of this paper is to give a stochastic representation for the solution to a natural extension of the Caputo-type evolution equation. The nonlocal-in-time operator is defined by a hypersingular integral with a (possibly…
An approximation to the solution of a stochastic parabolic equation is constructed using the Galerkin approximation followed by the Wiener Chaos decomposition. The result is applied to the nonlinear filtering problem for the time…
Fractional Fokker-Planck equation plays an important role in describing anomalous dynamics. To the best of our knowledge, the existing discussions mainly focus on this kind of equation involving one diffusion operator. In this paper, we…
We propose a novel small time approximation for the solution to the Zakai equation from nonlinear filtering theory. We prove that the unnormalized filtering density is well described over short time intervals by the solution of a…
The present paper is concerned with a space-time homogenization problem for nonlinear diffusion equations with periodically oscillating (in space and time) coefficients. Main results consist of a homogenization theorem (i.e., convergence of…
Fractional diffusion equations imply non-Gaussian distributions that generalise the standard diffusive process. Recent advances in fractional calculus lead to a class of new fractional operators defined by non-singular memory kernels,…
We propose a novel non-parametric learning paradigm for the identification of drift and diffusion coefficients of multi-dimensional non-linear stochastic differential equations, which relies upon discrete-time observations of the state. The…
We prove existence of a probability solution to the nonlinear stationary Fokker-Planck-Kolmogorov equation on an infinite dimensional space with a centered Gaussian measure $\gamma$ with a unit diffusion operator and a drift of the form…
We investigate the Cauchy problem and the diffusion asymptotics for a spatially inhomogeneous kinetic model associated to a nonlinear Fokker-Planck operator. We derive the global well-posedness result with instantaneous smoothness effect,…
This paper provides a finite difference discretization for the backward Feynman-Kac equation, governing the distribution of functionals of the path for a particle undergoing both reaction and diffusion [Hou and Deng, J. Phys. A: Math.…
The covariant form of the multivariable diffusion-drift process is described by the covariant Fokker--Planck equation using the standard toolbox of Riemann geometry. The covariant form of the equivalent Langevin stochastic differential…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
We study nonlinear parabolic stochastic partial differential equations with Wick-power and Wick-polynomial type nonlinearities set in the framework of white noise analysis. These equations include the stochastic Fujita equation, the…
The existence and uniqueness of measure-valued solutions to stochastic nonlinear, non-local Fokker-Planck equations is proven. This type of stochastic PDE is shown to arise in the mean field limit of weakly interacting diffusions with…
Presenting a general phase approach to stochastic processes we analyze in particular the Fokker-Planck equation for the noisy Burgers equation and discuss the time dependent and stationary probability distributions. In one dimension we…
The propagation of nonlinear and dispersive waves in various materials can be described by the well-known Kadomtsev-Petviashvili (KP) equation, which is a (2+1)-dimensional partial differential equation. In this paper, we show that the KP…