Related papers: Non-Markovian diffusion equations and processes: a…
We present an approximate analytical expression for the escape rate of time-dependent driven stochastic processes with an absorbing boundary such as the driven leaky integrate-and-fire model for neural spiking. The novel approximation is…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
We discuss a failure of the wide-spread method of images solution to describe the time evolution of probability distribution in diffusive processes with memory. For a path that touches a target during stochastic evolution, we define its…
Time-changed stochastic processes have attracted great attention and wide interests due to their extensive applications, especially in financial time series, biology and physics. This paper pays attention to a special stochastic process,…
We construct a continuous-time, positively divisible non-Markovian process with memory of the initial state that satisfies the differential Chapman--Kolmogorov equation. In the stationary state, the correlation function exhibits exponential…
We study the existence of densities for distributions of piecewise deterministic Markov processes. We also obtain relationships between invariant densities of the continuous time process and that of the process observed at jump times. In…
A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process (K(t), i(t), Y(t)), where (K(t), i(t)) is an autonomous reversible jump process, with waiting times between two jumps with…
In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient,…
Given a reaction-advection-diffusion system modelling the sulphation phenomenon, we derive a single regularised non-conservative and path-dependent nonlinear partial differential equation and propose a probabilistic interpretation via a…
In this paper we focus on strong solutions of some heat-like problems with a non-local derivative in time induced by a Bernstein function and an elliptic operator given by the generator or the Fokker-Planck operator of a Pearson diffusion.…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
Stochastic thermodynamics and the associated fluctuation relations provide the means to extend the fundamental laws of thermodynamics to small scales and systems out of equilibrium. The fluctuating thermodynamic variables are usually…
Non-Markovian processes may arise in physics due to memory effects of environmental degrees of freedom. For quantum non-Markovianity, it is an ongoing debate to clarify whether such memory effects have a verifiable quantum origin, or…
We associate a coupled nonlinear Fokker-Planck equation on $\R^d$, i.e. with solution paths in $\scr P$, to a linear Fokker-Planck equation for probability measures on the product space $\R^d\times \scr P$, i.e. with solution paths in $\scr…
The application of Stochastic Differential Equations (SDEs) to the analysis of temporal data has attracted increasing attention, due to their ability to describe complex dynamics with physically interpretable equations. In this paper, we…
In this short paper, we consider discrete-time Markov chains on lattices as approximations to continuous-time diffusion processes. The approximations can be interpreted as finite difference schemes for the generator of the process. We…
Monte Carlo (MC) simulations of transport in random porous networks indicate that for high variances of the log-normal permeability distribution, the transport of a passive tracer is non-Fickian. Here we model this non-Fickian dispersion in…
We present embedding procedures for the non-Markovian stochastic Schr\"{o}dinger equations, arising from studies of quantum systems coupled with bath environments. By introducing auxiliary wave functions, it is demonstrated that the…
We consider a nonlinear Fokker-Planck equation driven by a deterministic rough path which describes the conditional probability of a McKean-Vlasov diffusion with "common" noise. To study the equation we build a self-contained framework of…
Memory effects arise in many complex systems, from protein folding, to the spreading of epidemics and financial decisions. While so-called non-Markovian dynamics is common in larger systems with interacting components, observations in…