Related papers: Particle approximation of some Landau equations
We propose a particle method for numerically solving the Landau equation, inspired by the score-based transport modeling (SBTM) method for the Fokker-Planck equation. This method can preserve some important physical properties of the Landau…
In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…
This paper investigates the probability distribution of solutions to McKean--Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst parameter H>1/2. Our main contribution is the derivation of the associated…
The numerical analysis of stochastic parabolic partial differential equations of the form $$ du + A(u) = f \,dt + g \, dW, $$ is surveyed, where $A$ is a partial operator and $W$ a Brownian motion. This manuscript unifies much of the theory…
In this paper we consider a system of $N$ particles on the real line evolving according to Newton's law, interacting through a singular (repulsive) force deriving from the potential $\frac{|x|^{1-\alpha}}{1-\alpha}$ with $\alpha \in…
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution of…
In this paper we prove that the spatially homogeneous Landau equation for Maxwellian molecules can be represented through the product of two elementary processes. The first one is the Brownian motion on the group of rotations. The second…
We derive non-linear stochastic Fokker-Planck equation from stochastic systems particles with individual and environmental noise via relative entropy method, with pathwise quantitative bounds. Moreover, we prove the existence of a unique…
The goal of this paper is to prove a convergence rate for Wong-Zakai approximations of semilinear stochastic partial differential equations driven by a finite dimensional Brownian motion. Several examples, including the HJMM equation from…
Microscopic theory of Brownian motion of a particle of mass $M$ in a bath of molecules of mass $m\ll M$ is considered beyond lowest order in the mass ratio $m/M$. The corresponding Langevin equation contains nonlinear corrections 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…
Based on a class of moderately interacting particle systems, we establish a quantitative approximation for density-dependent McKean-Vlasov SDEs and the corresponding nonlinear, nonlocal PDEs. The SDE is driven by both Brownian motion and…
By investigating path-distribution dependent stochastic differential equations, the following type of nonlinear Fokker--Planck equations for probability measures $(\mu_t)_{t \geq 0}$ on the path space $\mathcal C:=C([-r_0,0];\mathbb R^d),$…
We construct a deterministic, Lagrangian many-particle approximation to a class of nonlocal transport PDEs with nonlinear mobility arising in many contexts in biology and social sciences. The approximating particle system is a nonlocal…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
In a recent article Lanconelli and Scorolli (2021) extended to the multidimensional case a Wong-Zakai-type approximation for It\^o stochastic differential equations proposed by \Oksendal and Hu (1996). The aim of the current paper is to…
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law under…
We extend to the multidimensional case a Wong-Zakai-type theorem proved by Hu and {\O}ksendal in [7] for scalar quasi-linear It\^o stochastic differential equations (SDEs). More precisely, with the aim of approximating the solution of a…
We introduce a semi-implicit Euler-Maruyama approximation which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particles…
One obtains a probabilistic representation for the entropic generalized solutions to a nonlinear Fokker-Planck equation in $\mathbb R^d$ with multivalued nonlinear diffusion term as density probabilities of solutions to a nonlinear…