Related papers: Non-Markovian diffusion equations and processes: a…
A Fokker-Planck equation approach for the treatment of non-Markovian stochastic processes is proposed. The approach is based on the introduction of fictitious trajectories sharing with the real ones their local structure and initial…
We derive the exact evolution equation for the probability density function of particle displacements generated by arbitrary Gaussian velocity processes, when neither Markovianity and nor stationarity are assumed. Starting from the…
The purpose of this comment is to correct mistaken assumptions and claims made in the paper Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations by T. D. Frank. Our comment centers on the claims…
We explore the diffusion process in the non-Markovian spatio-temporal noise.%the escape rate problem in the non-Markovian spatio-temporal random noise. There is a non-trivial short memory regime, i.e., the Markovian limit characterized by a…
The unified description of diffusion processes that cross over from a ballistic behavior at short times to normal or anomalous diffusion (sub- or superdiffusion) at longer times is constructed on the basis of a non-Markovian generalization…
We demonstrate the equivalence of a Non--Markovian evolution equation with a linear memory--coupling and a Fokker--Planck equation (FPE). In case the feedback term offers a direct and permanent coupling of the current probability density to…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
We develop a general theory dealing with stochastic models for dynamical systems that are governed by various nonlinear, ordinary or partial differential, equations. In particular, we address the problem how flows in the random medium…
We solve two long standing problems for stochastic descriptions of open quantum system dynamics. First, we find the classical stochastic processes corresponding to non-Markovian quantum state diffusion and non-Markovian quantum jumps in…
We study the perturbative response of a complex quantum system on time changes of an external parameter $X$. The driven dynamics is treated in adiabatic basis of the system's Hamiltonian $\hat{H}[X]$. Within a random matrix approach we…
A space fractional diffusion-like equation is introduced, which embodies the nonlocality in time, represented by the memory kernel and the non-locality in space. A specific example of the nonlocal term is considered in combination with…
The nonlocal porous medium equation considered in this paper is a degenerate nonlinear evolution equation involving a space pseudo-differential operator of fractional order. This space-fractional equation admits an explicit, nonnegative,…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
A subdiffusion problem in which the diffusion term is related to a stable stochastic process is introduced. Linear models of these systems have been studied in a general way, but non-linear models require a more specific analysis. The model…
The computation of the probability of the first-passage time through a given threshold of a stochastic process is a classic problem that appears in many branches of physics. When the stochastic dynamics is markovian, the probability admits…
We derive diffusive macroscopic equations for the particle and energy density of a system whose time evolution is described by a kinetic equation for the one particle position and velocity function f(r,v,t) that consists of a part that…
In this article integro-differential Volterra equations whose convolution kernel depends on the vector variable are considered and a connection of these equations with a class of semi-Markov processes is established. The variable order…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
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…