Related papers: Brownian colloidal particles: Ito, Stratonovich or…
The approximative theorems of incomplete Riemann-Stieltjes sums of Ito stochastic integral, mean square integral and Stratonovich stochastic integral with respect to Brownian motion are investigated. Some sufficient conditions of incomplete…
Using algorithms of Higuchi and of Grassberger and Procaccia, we study numerically how fractal dimensions cross over from finite-dimensional Brownian noise at short time scales to finite values of deterministic chaos at longer time scales…
We analyze the quantum dynamics of radiation propagating in a single mode optical fiber with dispersion, nonlinearity, and Raman coupling to thermal phonons. We start from a fundamental Hamiltonian that includes the principal known…
This note provides an introduction to molecular dynamics, the computational implementation of the theory of statistical physics. The discussion is focused on the properties of Langevin dynamics, a degenerate stochastic differential equation…
We present a numerical scheme for simulating the dynamics of Brownian particles suspended in a fluid. The motion of the particles is tracked by the Langevin equation, whereas the host fluid flow is analyzed by using the lattice Boltzmann…
The classical theory of Brownian dynamics follows from coarse-graining the underlying linearized fluctuating hydrodynamics of the solvent. We extend this procedure to globally non-isothermal conditions, requiring only a local thermal…
A theory for (1+3)-dimensional relativistic Brownian motion under the influence of external force fields is put forward. Starting out from a set of relativistically covariant, but multiplicative Langevin equations we describe the…
We reinterpret Starobinsky's stochastic inflation as an open quantum system, where short-wavelength modes act as the environment for long-wavelength modes. Using the Schwinger-Keldysh formalism, we systematically trace out the environment…
This paper is devoted to the study of hyperbolic systems of linear partial differential equations perturbed by a Brownian motion. The existence and uniqueness of solutions are proved by an energy method. The specific features of this class…
We briefly review the problem of Brownian motion and describe some intriguing facets. The problem is first treated in its original form as enunciated by Einstein, Langevin, and others. Then, utilizing the problem of Brownian motion as a…
Non-equilibrium stochastic dynamics of several active Brownian systems are modeled in terms of non-linear velocity dependent force. In general, this force may consist of both even and odd functions of velocity. We derive the expression for…
It has long been recognized that the dynamics of linear quantum systems is classical in the Wigner representation. Yet many conceptually important linear problems are typically analyzed using such generally applicable techniques as…
In this paper, the first microscopic approach to the Brownian motion is developed in the case where the mass density of the suspending bath is of the same order of magnitude as that of the Brownian (B) particle. Starting from an extended…
We study a model for a massive test particle in a microscopic periodic potential and interacting with a reservoir of light particles. In the regime considered, the fluctuations in the test particle's momentum resulting from collisions…
The most general local Markovian stochastic model is investigated, for which it is known that the evolution equation is the Fokker-Planck equation. Special cases are investigated where uncorrelated initial states remain uncorrelated.…
We present a canonical phase space approach to stochastic systems described by Langevin equations driven by white noise. Mapping the associated Fokker-Planck equation to a Hamilton-Jacobi equation in the nonperturbative weak noise limit we…
We consider the Fokker--Planck equations with irregular coefficients. Two different cases are treated: in the degenerate case, the coefficients are assumed to be weakly differentiable, while in the non-degenerate case the drift satisfies…
We describe a method to simulate the dynamics of charged colloidal particles suspended in a liquid containing dissociated ions and salt ions. Regimes of prime current interest are those of large volume fraction of colloids, highly charged…
A semi-classical approach to the study of the evolution of anyonic excitations--elementary particles with fractional statistics, complementing bosons and fermions--is through the Boltzmann equation for anyons. This work reviews a…
Diffusion theory establishes a fundamental connection between stochastic differential equations and partial differential equations. The solution of a partial differential equation known as the Fokker-Planck equation describes the…