Related papers: Estimating Small Probabilities for Langevin Dynami…
In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…
We derive novel low-temperature asymptotics for the spectrum of the infinitesimal generator of the overdamped Langevin dynamics. The novelty is that this operator is endowed with homogeneous Dirichlet conditions at the boundary of a domain…
Distributed order fractional Langevin-like equations are introduced and applied to describe anomalous diffusion without unique diffusion or scaling exponent. It is shown that these fractional Langevin equations of distributed order can be…
We determine the rate of escape from a potential well, and the diffusion coefficient in a periodic potential, of a random walker that moves under the influence of the potential in between successive collisions with the heat bath. In the…
The Generalized Langevin Equation, in history, arises as a natural fix for the rather traditional Langevin equation when the random force is no longer memoryless. It has been proved that with fractional Gaussian noise (fGn) mostly…
The Langevin equation with multiplicative noise and state-dependent transport coefficient has to be always complemented with the proper interpretation rule of the noise, such as the Ito and Stratonovich conventions. Although the…
We describe a simple stochastic method, so-called Langevin approach, which enables one to extract evolution equations of stochastic variables from a set of measurements. Our method is parameter-free and it is based on the nonlinear Langevin…
The flow of granular material through a rough narrow pipe is described by the Langevin equation formalism. The stochastic force is caused by irregular interaction between the wall and the granular particles. In correspondence with…
A rigorous derivation of quantum Langevin equation from microscopic dynamics in the low density limit is given. We consider a quantum model of a microscopic system (test particle) coupled with a reservoir (gas of light Bose particles) via…
The paper deals with the description of particle deposition on walls from a turbulent flow over a large range of particle diameter, using a Langevin PDF model. The first aim of the work is to test how the present Langevin model is able to…
The existence of a weak solution to a McKean-Vlasov type stochastic differential system corresponding to the Enskog equation of the kinetic theory of gases is established under natural conditions. The distribution of any solution to the…
This article is concerned with sampling from Gibbs distributions $\pi(x)\propto e^{-U(x)}$ using Markov chain Monte Carlo methods. In particular, we investigate Langevin dynamics in the continuous- and the discrete-time setting for such…
Consider the underdamped Langevin process $(q(t),p(t))_{t\geq0}$ in $\R^d\times\R^d$. We derive the low-temperature asymptotic of its mean-transition time between basins of attraction for a double-well potential. This asymptotic is called…
We study Langevin dynamics with noise projected onto the directions orthogonal to an isometric group action. This mathematical model is introduced to shed new light on the effects of symmetry on stochastic gradient descent for…
Fragment mass distributions from the fission of U and Pu isotopes at low excitation energies are studied using a dynamical model based on the fluctuation-dissipation theorem formulated as Langevin equations. The present calculations…
In this paper we present a new point of view on the mathematical foundations of statistical physics of infinite volume systems. This viewpoint is based on the newly introduced notions of transition energy function, transition energy field…
The Langevin equation is a common tool to model diffusion at a single-particle level. In non-homogeneous environments, such as aqueous two-phase systems or biological condensates with different diffusion coefficients in different phases,…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
We discuss fluctuation relations in simple cases of non-equilibrium Langevin dynamics. In particular, we show that close to non-equilibrium steady states with non-vanishing probability currents some of these relations reduce to a modified…
The problem of the statistics of a set of chaotic vortex lines in a counterflowing superfluid helium is studied. We introduced a Langevin-type force into the equation of motion of the vortex line in presence of relative velocity…