Related papers: A stochastic diffusion process for the Dirichlet d…
Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for…
Stochasticity plays important roles in reaction systems. Vector fields of probability flux and velocity characterize time-varying and steady-state properties of these systems, including high probability paths, barriers, checkpoints among…
The Persistent Turning Walker Model (PTWM) was introduced by Gautrais et al in Mathematical Biology for the modelling of fish motion. It involves a nonlinear pathwise functional of a non-elliptic hypo-elliptic diffusion. This diffusion…
The steady state of the Fokker-Planck equation corresponding to a density dependent one-step process is approximated by a suitable normal distribution. Starting from the master equations of the process, written in terms of the time…
Recent advances have allowed to tackle exact path-space probabilistic representations of macroscopic advection-diffusion models involving advection nonlinearities by step forward approaches in terms of continuous branching stochastic…
Wright-Fisher diffusions and their dual ancestral graphs occupy a central role in the study of allele frequency change and genealogical structure, and they provide expressions, explicit in some special cases but generally implicit, for the…
We study a stochastic process $X_t$ related to the Bessel and the Rayleigh processes, with various applications in physics, chemistry, biology, economics, finance and other fields. The stochastic differential equation is $dX_t = (nD/X_t) dt…
A phenomenological model for the dissipation of scalar fluctuations due to the straining by the fluid motion is proposed in this letter. An explicit equation is obtained for the time evolution of the probability distribution function of a…
Convection-diffusion equations provide the basis for describing heat and mass transfer phenomena as well as processes of continuum mechanics. To handle flows in porous media, the fundamental issue is to model correctly the convective…
A model for diffusion in liquids that couples the dynamics of tracer particles to a fluctuating Stokes equation for the fluid is investigated in the limit of large Schmidt number. In this limit, the concentration of tracers is shown to…
We consider a general one-dimensional overdamped diffusion model described by the It\^{o} stochastic differential equation (SDE) ${dX_t=\mu(X_t,t)dt+\sigma(X_t,t)dW_t}$, where $W_t$ is the standard Wiener process. We obtain a specific…
This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type. In the particular cases the solutions of such an equations are the well-known…
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…
We derive the steady state solution of the Fokker-Planck equation that describes the dynamics of the nondegenerate optical parametric oscillator in the truncated Wigner representation of the density operator. We assume that the pump mode is…
We consider a family of one-dimensional diffusions, in dynamical Wiener mediums, which are random perturbations of the Ornstein-Uhlenbeck diffusion process. We prove quenched and annealed convergences in distribution and under weighted…
A theoretical framework is developed for the phenomenon of non-Gaussian normal diffusion that has experimentally been observed in several heterogeneous systems. From the Fokker-Planck equation with the dynamical structure with largely…
We introduce stochastic models for continuous-time evolution of angles and develop their estimation. We focus on studying Langevin diffusions with stationary distributions equal to well-known distributions from directional statistics, since…
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…
Systems are studied in which transport is possible due to large extension with open boundaries in certain directions but the particles responsible for transport can disappear from it by leaving it in other directions, by chemical reaction…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…