Related papers: A new probabilistic approach to non local and full…
Usually Fokker-Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem which consists in prescribing final data: in particular we…
We investigate numerical behaviour of a convection diffusion equation with random coefficients by approximating statistical moments of the solution. Stochastic Galerkin approach, turning the original stochastic problem to a system of…
The study of distributed order calculus usually concerns about fractional derivatives of the form $\int_0^1 \partial^\alpha u \, m(d\alpha)$ for some measure $m$, eventually a probability measure. In this paper an approach based on L\'evy…
Modeling via fractional partial differential equations or a L\'evy process has been an active area of research and has many applications. However, the lack of efficient numerical computation methods for general nonlocal operators impedes…
In this paper, we introduce branching processes in a L\'evy random environment. In order to define this class of processes, we study a particular class of non-negative stochastic differential equations driven by Brownian motions and Poisson…
We discuss a relativistic diffusion in the proper time in an approach of Schay and Dudley. We derive (Langevin) stochastic differential equations in various coordinates.We show that in some coordinates the stochastic differential equations…
Techniques from numerical bifurcation theory are very useful to study transitions between steady fluid flow patterns and the instabilities involved. Here, we provide computational methodology to use parameter continuation in determining…
We reduce the construction of a weak solution of the Cauchy problem for the Navier-Stokes system to the construction of a solution to a stochastic problem. Namely, we construct diffusion processes which allow us to obtain a probabilistic…
We develop and implement new probabilistic strategy for proving basic results about long time behaviour for interacting diffusion processes on unbounded lattice. The concept of the solution used is rather weak as we construct the process as…
In this paper, we present a model based on a local thermodynamic equilibrium, weakly ionized plasma-mixture model used for medical and technical applications in etching processes. We consider a simplified model based on the Maxwell-Stefan…
The crossover among two or more types of diffusive processes represents a vibrant theme in nonequilibrium statistical physics. In this work we propose two models to generate crossovers among different L\'evy processes: in the first model we…
Analogue to the well-known Langevin Monte Carlo method, in this article we provide a method to sample from a target distribution \(\pi\) by simulating a solution of a stochastic differential equation. Hereby, the stochastic differential…
The existence of weak solutions is established for stochastic Volterra equations with time-inhomogeneous coefficients allowing for general kernels in the drift and convolutional or bounded kernels in the diffusion term. The presented…
An efficient method is presented as a means of an approximate, analytic time-dependent solution of the Fokker-Planck equation (FPE) for the Langevin model subjected to additive and multiplicative noise. We have assumed that the dynamical…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical and empirical reasons to consider similar equations driven by…
We study a porous medium-type equation whose pressure is given by a nonlocal L\'{e}vy operator associated to a symmetric jump L\'{e}vy kernel. The class of nonlocal operators under consideration appears as a generalization of the classical…
We introduce a general coupled system of parabolic equations with quadratic nonlinear terms and diffusion terms defined by fractional powers of the Laplacian operator. We develop a method to establish the rigorous convergence of the…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
We study solution techniques for parabolic equations with fractional diffusion and Caputo fractional time derivative, the latter being discretized and analyzed in a general Hilbert space setting. The spatial fractional diffusion is realized…
We derive novel algorithms for optimization problems constrained by partial differential equations describing multiscale particle dynamics, including non-local integral terms representing interactions between particles. In particular, we…