Related papers: L\'evy flights on the half line
We provide an analytical solution for the time-dependent Fokker-Planck equation for a two-dimensional active Brownian particle trapped in an isotropic harmonic potential. Using the passive Brownian particle as basis states we show that the…
Pre-asymptotic transport of a scalar quantity passively advected by a velocity field formed by a large-scale component superimposed to a small-scale fluctuation is investigated both analytically and by means of numerical simulations.…
Transport of the Brownian particles driven by L\'evy flights coexisting with subdiffusion in asymmetric periodic potentials is investigated in the absence of any external driving forces. Using the Langevin-type dynamics with subordination…
Auxiliary-field quantum Monte Carlo (AFQMC) is typically formulated as an open-ended random walk in an overcomplete space of Slater determinants, implemented through a Langevin equation. However, the explicit form of the underlying…
In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…
We outline a statistical theory of turbulence based on the Lagrangian formulation of fluid motion. We derive a hierarchy of evolution equations for Lagrangian N-point probability distributions as well as a functional equation for a suitably…
The Vlasov-Fokker-Planck equation describes the evolution of the probability density of the position and velocity of particles under the influence of external confinement, interaction, friction, and stochastic force. It is well-known that…
It is well-known that for a one dimensional stochastic differential equation driven by Brownian noise, with coefficient functions satisfying the assumptions of the Yamada-Watanabe theorem \cite{yamada1,yamada2} and the Feller test for…
We investigate the statistical properties of an over-damped Brownian particle that is trapped by a harmonic potential and simultaneously exposed to a linear shear flow or to a plane Poiseuille flow. Its probability distribution is…
We study the inverse problem of recovering the order and the diffusion coefficient of an elliptic fractional partial differential equation from a finite number of noisy observations of the solution. We work in a Bayesian framework and show…
We derive the probability density function of the positive occupation time of one-dimensional Brownian motion with two-valued drift. Long time asymptotics of the density are also computed. We use the result to describe the transitional…
We jointly investigate the existence of quasi-stationary distributions for one dimensional L\'evy processes and the existence of traveling waves for the Fisher-Kolmogorov-Petrovskii-Piskunov (F-KPP) equation associated with the same motion.…
On the unit square, we introduce a method for accurately computing source-neutral Green's functions of the fractional Laplacian operator with either periodic or homogeneous Neumann boundary conditions. This method involves analytically…
We derive an analytical expression for the propagator and the transition path time distribution of a two-dimensional active Brownian particle crossing a parabolic barrier with absorbing boundary conditions at both sides. By taking those of…
We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise. In view of the L\'{e}vy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental…
The transport of platelets in blood is commonly assumed to obey an advection-diffusion equation. Here we propose a disruptive view, by showing that the random part of their velocity is governed by a fat-tailed probability distribution,…
An important open problem in the theory of L\'evy flights concerns the analytically tractable formulation of absorbing boundary conditions. Although numerical studies using the correctly defined nonlocal approach have yielded substantial…
The optimal fluctuation method -- essentially geometrical optics -- gives a deep insight into large deviations of Brownian motion. Here we illustrate this point by telling three short stories about Brownian motions, "pushed" into a…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
A steady state plane problem of an inhomogeneous half-plane subjected to a load running along the boundary at subsonic speed is analyzed. The Lame coefficients and the density of the half-plane are assumed to be power functions of depth.…