Related papers: Laplace, Fourier, and stochastic diffusion
Diffusion of particles in velocity space undergoing turbulent field was extensively studied in the problem of warm beam relaxation. Under low field intensities the diffusion is described by the Fokker-Planck equation with the diffusion…
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its…
We discuss the effective diffusion constant $D_{{\it eff}}$ for stochastic processes with spatially-dependent noise. Starting from a stochastic process given by a Langevin equation, different drift-diffusion equations can be derived…
We consider the heat equation defined by a generalized measure theoretic Laplacian on $[0,1]$. This equation describes heat diffusion in a bar such that the mass distribution of the bar is given by a non-atomic Borel probabiliy measure…
We consider an isothermal machine composed of two Brownian particles (say particle A and B) connected by a harmonic spring. A constant load is attached to particle A, and the particle B is trapped in a harmonic confinement whose minimum is…
The Dulong-Petit limiting law for the specific heats of solids, one of the first general results in thermodynamics, has provided Mendeleev with a powerful tool for devising the periodic table and gave an important support to Boltzmann's…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
This essay fuses concepts and approaches used to describe fluctuating phenomena in climate systems and statistical mechanics, and explores new ideas essential for understanding such phenomena. Its starting points are the Langevin equation…
We analyze the diffusion of a Brownian particle in a fluid under stationary flow. By using the scheme of non-equilibrium thermodynamics in phase space, we obtain the Fokker-Planck equation which is compared with others derived from kinetic…
Considered herein is a particular nonlinear dispersive stochastic equation. It was introduced recently in [3], as a model describing surface water waves under location uncertainty. The corresponding noise term is introduced through a…
This paper is concerned with the large deviation principle of the stochastic reaction-diffusion lattice systems defined on the N-dimensional integer set, where the nonlinear drift term is locally Lipschitz continuous with polynomial growth…
This is an attempt to address diffusion phenomena from the point of view of information theory. We imagine a regular hamiltonian system under the random perturbation of thermal (molecular) noise and chaotic instability. The irregularity of…
The Carnot theory is unique among the theories of heat developed before the emergence of thermodynamics because it considers the relationship between heat and work. The theory is contained in Carnot's book published in 1824, which includes…
We compare the relation between dispersion and dissipation for two random variables that can be used to characterize the precision of a Brownian clock. The first random variable is the current between states. In this case, a certain…
The Landau-Coulomb equation is an important model in plasma physics featuring both nonlinear diffusion and reaction terms. In this manuscript we focus on the diffusion operator within the equation by dropping the potentially nefarious…
Einstein is usually revered as the father of special and general relativity. In this article I demonstrate that he is also the father of Solid State Physics, or even his broader version known as Condensed Matter Physics (including liquids).…
The motion of a quantum particle hopping on a simple cubic lattice under the influence of thermal noise and of a static random potential is expected to be diffusive, i.e., the particle is expected to exhibit `quantum Brownian motion', no…
We investigate stochastic interpolation, a recently introduced framework for high dimensional sampling which bears many similarities to diffusion modeling. Stochastic interpolation generates a data sample by first randomly initializing a…
Perturbed Einstein's equations with a linear response relation and a stochastic source, applicable to a relativistic star model are worked out . These perturbations which are stochastic in nature, are of significance for building a…
The area enclosed by the two-dimensional Brownian motion in the plane was studied by L\'evy, who found the characteristic function and probability density of this random variable. For other planar processes, in particular ergodic diffusions…