Related papers: Fokker-Planck equations for nonlinear dynamical sy…
Fokker-Planck equations are extensively employed in various scientific fields as they characterise the behaviour of stochastic systems at the level of probability density functions. Although broadly used, they allow for analytical treatment…
In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient,…
We propose a new approach to describe the effective microscopic dynamics of (power-law) nonlinear Fokker-Planck equations. Our formalism is based on a nonextensive generalization of the Wiener process. This allow us to obtain, in addition…
Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…
Linear dynamical systems, driven by a non-white noise which has the Levy distribution, are analysed. Noise is modelled by a specific stochastic process which is defined by the Langevin equation with a linear force and the Levy distributed…
Fokker-Planck equations (forward Kolmogorov equations) evolve probability densities in time from an initial condition. For distributions over the real line, these evolution equations can sometimes be transformed into dynamics over the…
The stochastic differential equations for a model of dissipative particle dynamics with both total energy and total momentum conservation in the particle-particle interactions are presented. The corresponding Fokker-Planck equation for the…
We consider the usual Langevin equation depending on an internal time. This parameter is substituted by a first passage time of a self-similar Markov process. Then the Gaussian process is parent, and the hitting time process is directing.…
We show that the increments of generalized Wiener process, useful to describe non-Gaussian white noise sources, have the properties of infinitely divisible random processes. Using functional approach and the new correlation formula for…
This paper is concerned with the Fokker-Planck (FP) description of classical stochastic systems with discrete time delay. The non-Markovian character of the corresponding Langevin dynamics naturally leads to a coupled infinite hierarchy of…
We formulate the stochastic differential equations for non-linear hydrodynamic fluctuations. The equations incorporate the random forces through a random stress tensor and random heat flux as in the Landau and Lifshitz theory. However, the…
Nonlinear systems with model uncertainty are often described by stochastic differential equations. Some techniques from random dynamical systems are discussed. They are relevant to better understanding of solution processes of stochastic…
The time evolution of the probability distribution of a stochastic differential equation follows the Fokker-Planck equation, which usually has an unbounded, high-dimensional domain. Inspired by our early study in \cite{li2018data}, we…
It is a challenging issue to analyze complex dynamics from observed and simulated data. An advantage of extracting dynamic behaviors from data is that this approach enables the investigation of nonlinear phenomena whose mathematical models…
We develop a general theory dealing with stochastic models for dynamical systems that are governed by various nonlinear, ordinary or partial differential, equations. In particular, we address the problem how flows in the random medium…
Stochastic differential equations play an important role in various applications when modeling systems that have either random perturbations or chaotic dynamics at faster time scales. The time evolution of the probability distribution of a…
We demonstrate the equivalence of a Non--Markovian evolution equation with a linear memory--coupling and a Fokker--Planck equation (FPE). In case the feedback term offers a direct and permanent coupling of the current probability density to…
In the current paper Fokker Planck model of random walks has been extended to non conservative cases characterized by explicit dependence of diffusion and energy on time. A given generalization allows describing of such non equilibrium…
The stochastic thermodynamics provides a framework for the description of systems that are out of thermodynamic equilibrium. It is based on the assumption that the elementary constituents are acted by random forces that generate a…
In this paper we present a study of anomalous diffusion using a Fokker-Planck description with fractional velocity derivatives. The distribution functions are found using numerical means for varying degree of fractionality observing the…