Related papers: Universal, Continuous-Discrete Nonlinear Yau Filte…
Wave propagation problems have many applications in physics and engineering, and the stochastic effects are important in accurately modeling them due to the uncertainty of the media. This paper considers and analyzes a fully discrete finite…
In this paper, we study a $\tau$-matrix approximation based preconditioner for the linear systems arising from discretization of unsteady state Riesz space fractional diffusion equation with non-separable variable coefficients. The…
We describe an implicit procedure for solving linear equation systems resulting from the discretization of the three dimensional (seven variables) linear Fokker-Planck equation. The discretization of the Fokker-Planck equation is performed…
As a generalization of deterministic, nonlinear conservative dynamical systems, a notion of {\em canonical conservative dynamics} with respect to a positive, differentiable stationary density $\rho(x)$ is introduced: $\dot{x}=j(x)$ in which…
Fractional diffusion equations (FDEs) are a mathematical tool used for describing some special diffusion phenomena arising in many different applications like porous media and computational finance. In this paper, we focus on a…
The optimization of the usual entropy $S_1[p]=-\int du p(u) ln p(u)$ under appropriate constraints is closely related to the Gaussian form of the exact time-dependent solution of the Fokker-Planck equation describing an important class of…
Convection-diffusion equations arise in a variety of applications such as particle transport, electromagnetics, and magnetohydrodynamics. Simulation of the convection-dominated regime for these problems, even with high-fidelity techniques,…
Score-based generative models (SGMs) learn a family of noise-conditional score functions corresponding to the data density perturbed with increasingly large amounts of noise. These perturbed data densities are linked together by the…
We present a finite-difference integration algorithm for solution of a system of differential equations containing a diffusion equation with nonlinear terms. The approach is based on Crank-Nicolson method with predictor-corrector algorithm…
We establish stable finite element (FE) approximations of convection-diffusion initial boundary value problems using the automatic variationally stable finite element (AVS-FE) method. The transient convection-diffusion problem leads to…
It is well known that the nonlinear filtering problem has important applications in both military and civil industries. The central problem of nonlinear filtering is to solve the Duncan-Mortensen-Zakai (DMZ) equation in real time and in a…
In this work, we explore both the ordinary $q$-Gaussian distribution and a new one defined here, determining both their mean and variance, and we use them to construct solutions of the $q$-deformed diffusion differential equation. This…
We study an approximation method for the one-dimensional nonlinear filtering problem, with discrete time and continuous time observation. We first present the method applied to the Fokker-Planck equation. The convergence of the…
We present a novel simulation-free framework for training continuous-time diffusion processes over very general objective functions. Existing methods typically involve either prescribing the optimal diffusion process -- which only works for…
It is long known that the Fokker-Planck equation with prescribed constant coefficients of diffusion and linear friction describes the ensemble average of the stochastic evolutions in velocity space of a Brownian test particle immersed in a…
Modern analyses of diffusion processes have proposed nonlinear versions of the Fokker-Planck equation to account for non-classical diffusion. These nonlinear equations are usually constructed on a phenomenological basis. Here we introduce a…
In the present work, we consider the Cauchy problem for the time fractional diffusion equation involving the general Caputo-type differential operator proposed by Kochubei. First, the existence, the positivity and the long time behavior of…
It is proved that the distributions of scaling limits of Continuous Time Random Walks (CTRWs) solve integro-differential equations akin to Fokker-Planck Equations for diffusion processes. In contrast to previous such results, it is not…
A numerical scheme for approximating the nonlinear filtering density is introduced and its convergence rate is established, theoretically under a parabolic H\"{o}rmander condition, and empirically in numerical examples. In a prediction…
In this paper we discuss the local discontinuous Galerkin methods coupled with two specific explicit-implicit-null time discretizations for solving one-dimensional nonlinear diffusion problems $U_t=(a(U)U_x)_x$. The basic idea is to add and…