Related papers: Finite-difference time-domain formulation of stoch…
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic difference equation contains both fractional noises and the…
We develop stochastic mixed finite element methods for spatially adaptive simulations of fluid-structure interactions when subject to thermal fluctuations. To account for thermal fluctuations, we introduce a discrete fluctuation-dissipation…
We propose a two-point flux approximation finite-volume scheme for a stochastic non-linear parabolic equation with a multiplicative noise. The time discretization is implicit except for the stochastic noise term in order to be compatible…
In this chapter we review stochastic modelling methods in climate science. First we provide a conceptual framework for stochastic modelling of deterministic dynamical systems based on the Mori-Zwanzig formalism. The Mori-Zwanzig equations…
We analyse the non-equilibrium distribution in dissipative dynamical systems at finite noise intensities. The effect of finite noise is described in terms of topological changes in the pattern of optimal paths. Theoretical predictions are…
Even in large systems, the effect of noise arising from when populations are initially small can persist to be measurable on the macroscale. A deterministic approximation to a stochastic model will fail to capture this effect, but it can be…
The time evolution of complex systems usually can be described through stochastic processes. These processes are measured at finite resolution, what necessarily reduces them to finite sequences of real numbers. In order to relate these data…
A discrete-time end-to-end fiber-optical channel model is derived based on the first-order perturbation approach. The model relates the discrete-time input symbol sequences of co-propagating wavelength channels to the received symbol…
A stabilized finite element method is introduced for the simulation of time-periodic creeping flows, such as those found in the cardiorespiratory systems. The new technique, which is formulated in the frequency rather than time domain,…
The investigation of the fluctuations in interacting quantum systems at finite temperatures showcases the ongoing challenges in understanding complex quantum systems. Recently, atom number fluctuations in weakly interacting Bose-Einstein…
We develop a mean-field approach for multicomponent stochastic spatially extended systems and use it to obtain a multivariate nonlinear self-consistent Fokker-Planck equation defining the probability density of the state of the system,…
A stochastic discrete drift-diffusion model is proposed to account for the effects of shot noise in weakly coupled, highly doped semiconductor superlattices. Their current-voltage characteristics consist of a number stable multistable…
In this work, we present a numerical method that remedies the instabilities of the conventional FDTD approach for solving Maxwell's equations in a space-time dependent magneto-electric medium with direct application to the simulation of the…
We provide a stochastic interpretation of non-commutative Dirichlet forms in the context of quantum filtering. For stochastic processes motivated by quantum optics experiments, we derive an optimal finite time deviation bound expressed in…
Thin liquid films are ubiquitous in natural phenomena and technological applications. They have been extensively studied via deterministic hydrodynamic equations, but thermal fluctuations often play a crucial role that needs to be…
We describe a novel coarse-grained simulation method for modelling the dynamics of globular macromolecules, such as proteins. The macromolecule is treated as a continuum that is subject to thermal fluctuations. The model includes a…
Mean-field approaches where a complex fermionic many-body problem is replaced by an ensemble of independent particles in a self-consistent mean-field can describe many static and dynamical aspects. It generally provides a rather good…
Many approaches to modelling reaction-diffusion systems with anomalous transport rely on deterministic equations and ignore fluctuations arising due to finite particle numbers. Starting from an individual-based model we use a…
Level fluctuations in quantum system have been used to characterize quantum chaos using random matrix models. Recently time series methods were used to relate level fluctuations to the classical dynamics in the regular and chaotic limit. In…
In this paper, we consider the Cucker-Smale flocking particles which are subject to the same velocity-dependent noise, which exhibits a phase change phenomenon occurs bringing the system from a "non flocking" to a "flocking" state as the…