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We carry out a comprehensive linear stability analysis of active Brownian particle systems around a constant homogeneous state. These scalar models, being important prototypes for the continuous description of active matter, are…
Consider a finite system of Brownian particles on the real line. Each particle has drift and diffusion coefficients depending on its current rank relative to other particles, as in Karatzas, Pal and Shkolnikov (2012). We prove some…
We study the treatment of the constraints in stochastic quantization method. We improve the treatment of the stochastic consistency condition proposed by Namiki et al. by suitably taking account of the Ito calculus. Then we obtain an…
The functional method to derive the fractional Fokker-Planck equation for probability distribution from the Langevin equation with Levy stable noise is proposed. For the Cauchy stable noise we obtain the exact stationary probability density…
We solve the Fokker-Planck equation for Brownian motion in a logarithmic potential. When the diffusion constant is below a critical value the solution approaches a non-normalizable scaling state, reminiscent of an infinite invariant…
The over-damped motion of a Brownian particle in an asymmetric, bistable, fluctuating potential shows noise induced stability: For intermediate fluctuation rates the mean occupancy of minima with an energy above the absolute minimum is…
Statistical inference for a linear stochastic hyperbolic equation with two unknown parameters is studied. Based on observation of coordinates of the solution or their linear combination, minimum contrast estimators are introduced. Strong…
We develop a general framework for response theory in diffusion processes governed by Fokker-Planck equations, based on the notion of the Dissipation Function. Using the analytically solvable Brownian oscillator model, we derive exact…
The formal derivation of Langevin equations (and, equivalently Fokker-Planck equations) with projection operator techniques of Mori, Zwanzig, Kawasaki and others apparently not has widely found its way into textbooks. It has been reproduced…
We systematically derive the quantum generalized nonlinear Langevin equation using Morozov's projection operator method. This approach extends the linear Mori-Zwanzig projection operator technique, allowing for the inclusion of nonlinear…
The understanding of the statistical properties and of the dynamics of multistable systems is gaining more and more importance in a vast variety of scientific fields. This is especially relevant for the investigation of the tipping points…
Using a shortcut way we have derived the Fokker-Planck equation for the Langevin dynamics with a generalized frictional memory kernel and time-dependent force field. Then we have shown that this method is applicable for the non-Markovian…
We consider the overdamped motion of Brownian particles, interacting via particle exclusion, in an external potential that varies with time and space. We show that periodic potentials that maintain specific position-dependent phase…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
We present a simple derivation of the stochastic equation obeyed by the density function for a system of Langevin processes interacting via a pairwise potential. The resulting equation is considerably different from the phenomenological…
A number of random processes in various fields of science is described by phenomenological equations containing a stochastic force, the best known example being the Langevin equation (LE) for the Brownian motion (BM) of particles. Long ago…
We discuss a model of a system of interacting populations for the case when: (i) the growth rates and the coefficients of interaction among the populations depend on the populations densities: and (ii) the environment influences the growth…
This work contributes a systematic survey and complementary insights of reflecting Brownian motion and its properties. Extension of the Skorohod problem's solution to more general cases is investigated, based on which a discussion is…
We extend the Langevin approach to a class of driving noises whose generating processes have independent increments with super-heavy-tailed distributions. The time-dependent generalized Fokker-Planck equation that corresponds to the…
We demonstrate a method which allows the stochastic modelling of quantum systems for which the generalised Fokker-Planck equation in the phase space contains derivatives of higher than second order. This generalises quantum stochastics far…