Related papers: Laplace, Fourier, and stochastic diffusion
The validity of Einstein's fluctuation-dissipation relation is discussed in respect to the type of relaxation in an isothermal system. The first model, presuming isothermic fluctuations, leads to the Einstein formula. The second model…
In this paper we study the randomized heat equation with homogeneous boundary conditions. The diffusion coeffcient is assumed to be a random variable and the initial condition is treated as a stochastic process. The solution of this…
A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability…
Seifert derived an exact fluctuation relation for diffusion processes using the concept of "stochastic system entropy". In this note we extend his formalism to entropic transport. We introduce the notion of relative stochastic entropy, or…
We consider a class of time-homogeneous diffusion processes on $\mathbb{R}^{n}$ with common invariant measure but varying volatility matrices. In Euclidean space, we show via stochastic control of the diffusion coefficient that the…
We study the biased diffusion of particles moving in one direction under the action of a constant force in the presence of a piecewise linear random potential. Using the overdamped equation of motion, we represent the first and second…
Ornstein and his coauthors, who constructed a dynamical theory of Brownian motion, taking the equation $mdv/dt =-\zeta v+X$ as their starting point, usually named the equation after Einstein alone or after both Einstein and Langevin;…
The fundamental insight into Brownian motion by Einstein is that all substances exhibit continual fluctuations due to thermal agitation balancing with the frictional resistance. However, even at thermal equilibrium, biological activity can…
Our Recent advancements in stochastic processes have illuminated a paradox associated with the Einstein model of Brownian motion. The model predicts an infinite propagation speed, conflicting with the second law of thermodynamics. The…
Stable distributions is an interesting and important class of probability distributions. They were discovered explicitly by Paul L\'{e}vy in 1925 \cite{lk}. They possess many interesting properties, most importantly they are by definiton…
Albert Einstein postulated the equivalence of energy and mass, developed the theory of special relativity, explained the photoelectric effect, and described Brownian motion in five papers, all published in 1905, 100 years ago. With these…
We review here the main contributions of Einstein to the quantum theory. To put them in perspective we first give an account of Physics as it was before him. It is followed by a brief account of the problem of black body radiation which…
In the air surrounding us, how does a particle diffuse? Thanks to Einstein and other pioneers,it has been well known that generally the particle will undergo the Brownian motion, and in the last century this insight has been corroborated by…
We define an operator which extends classical differentiation from smooth deterministic functions to certain stochastic processes. Based on this operator, we define a procedure which associates a stochastic analog to standard differential…
S. G. Kou and H. Wang [First Passage times of a Jump Diffusion Process \textit{Ann. Appl. Probab.} {\bf 35} (2003) 504--531] give expressions of both the (real) Laplace transform of the distribution of first passage time and the (real)…
Based on the covariant underdamped and overdamped Langevin equations with Stratonovich coupling to multiplicative noises and the associated Fokker-Planck equations on Riemannian manifold, we present the first law of stochastic…
Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in…
In the last decades the theory of large deviations has become a main tool in statistical mechanics especially in the study of non--equilibrium. In a rational reconstruction of the story one must recognize the ideal connection and debt of…
We present a detailed derivation of Fourier's law in a class of stochastic energy exchange systems that naturally characterize two-dimensional mechanical systems of locally confined particles in interaction. The stochastic systems consist…
We study the dynamics of Brownian particles in a heterogeneous one-dimensional medium with a spatially-dependent diffusion coefficient of the form $D(x)\sim |x|^c$, at constant temperature. The particle's probability distribution function…