Related papers: Generalized Fokker-Planck equation: Derivation and…
We extend the Langevin approach to a class of driving noises whose generating processes have independent increments with super-heavy-tailed distributions. The time-dependent generalized Fokker-Planck equation that corresponds to the…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. In this paper, we derive a Fractional Fokker--Planck equation for the probability distribution of…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical and empirical reasons to consider similar equations driven by…
We study the connection between the parameters of the fractional Fokker-Planck equation, which is associated with the overdamped Langevin equation driven by noise with heavy-tailed increments, and the transition probability density of the…
We systematically derive the quantum generalized nonlinear Langevin equation using Morozov's projection operator method. This approach extends the linear Mori-Zwanzig projection operator technique, allowing for the inclusion of nonlinear…
We consider the Langevin equation with multiplicative noise term which depends on time and space. The corresponding Fokker-Planck equation in Stratonovich approach is investigated. Its formal solution is obtained for an arbitrary…
We study a particular generalisation of the classical Kramers model describing Brownian particles in the external potential. The generalised model includes the stochastic force which is modelled as an additive random noise that depends upon…
Usually discussions on the question of interpretation in the Langevin equation with multiplicative white noise are limited to the Ito and Stratonovich prescriptions. In this work, a Langevin equation with multiplicative white noise and its…
We show that the increments of generalized Wiener process, useful to describe non-Gaussian white noise sources, have the properties of infinitely divisible random processes. Using functional approach and the new correlation formula for…
Recent experiments on Brownian colloidal particles have been studied theoretically in terms of overdamped Langevin equations with multiplicative white noise using an unconventional stochastic interpretation. Complementary numerical…
This paper focuses on the long-term behavior of solutions to nonlinear stochastic Fokker-Planck equations driven by common noise, where the drift term has a linear dependence on the measure. These equations, which describe the evolution of…
Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and play an important role in quantifying propagation and evolution of uncertainty. Although Fokker-Planck equations can be written…
We demonstrate that the conventional path integral formulations generate inconsistent results exemplified by the geometric Brownian motion under the general stochastic interpretation. We thus develop a novel path integral formulation for…
In this work we introduce two different generalizations of the Fokker-Planck equation in (1+1) dimensions by replacing the spatial derivatives in terms of generalized Dunkl-type derivatives involving reflection operators. As applications of…
We study the statistical properties of overdamped particles driven by two cross-correlated multiplicative Gaussian white noises in a time-dependent environment. Using the Langevin and Fokker-Planck approaches, we derive the exact…
Covariance of the resulting probabilities requires the "anti-Ito" sense. The corresponding Fokker-Planck equation is simplified and preserves important features of the case with a constant diffusion. Multiplicative noise can always be…
This paper introduces a comprehensive extension of the path integral formalism to model stochastic processes with arbitrary multiplicative noise. To do so, It\^o diffusive process is generalized by incorporating a multiplicative noise term…
Starting from the simple point process model of 1/f noise we derive a stochastic nonlinear differential equation for the signal exhibiting 1/f noise in any desirably wide range of frequency. A stochastic differential equation (the general…
Generalized Langevin equation for characteristic functional of many-electron system dynamically interacting with a thermostat and besides subjected to external perturbation and observation is derived and formulated in terms of one-particle…
The non--static generalized Langevin equation and its corresponding Fokker--Planck equation for the position of a viscous fluid particle were solved in closed form for a time dependent external force. Its solution for a constant external…