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We consider an infinite-dimensional dynamical system with polynomial nonlinearity and additive noise given by a finite number of Wiener processes. By studying how randomness is spread by the system we develop a counterpart of Hormander's…
Quantum theory and relativity are the pillar theories on which our understanding of physics is based. Poincar\'e invariance is a fundamental physical principle stating that the experimental results must be the same in all inertial reference…
A Langevin equation with a special type of additive random source is considered. This random force presents a fractional order derivative of white noise, and leads to a power-law time behavior of the mean square displacement of a particle,…
This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of…
Consider a particle diffusing in a confined volume which is divided into two equal regions. In one region the diffusion coefficient is twice the value of the diffusion coefficient in the other region. Will the particle spend equal…
We investigate the effects of relatively rapid variations of the boundaries of an overmoded cavity on the stochastic properties of its interior acoustic or electromagnetic field. For quasi-static variations, this field can be represented as…
We discuss the dynamics of a Brownian particle under the influence of a spatially periodic noise strength in one dimension using analytical theory and computer simulations. In the absence of a deterministic force, the Langevin equation can…
Quantum state diffusion (QSD) as a tool to solve quantum-optical master equations by stochastic simulation can be made several orders of magnitude more efficient if states in Hilbert space are represented in a moving basis of excited…
The probability distributions, as well as the mean values of stochastic currents and fluxes, associated with a driven Langevin process, provide a good and topologically protected measure of how far a stochastic system is driven out of…
The adsorption phenomenon of neutral particles from the limiting surfaces of the sample in the Langmuir approximation is investigated. The diffusion equation regulating the redistribution of particles in the bulk is assumed to be of…
We consider random flights of point particles inside $n$-dimensional channels of the form $\mathbb{R}^{k} \times \mathbb{B}^{n-k}$, where $\mathbb{B}^{n-k}$ is a ball of radius $r$ in dimension $n-k$. The particle velocities immediately…
First-passage phenomena play a fundamental role in classical stochastic processes. We here exactly solve a quantum first-passage time problem for quantum diffusion driven by measurement noise, a generalization of classical Brownian motion.…
We generalize the oscillator model of a particle interacting with a thermal reservoir by introducing arbitrary nonlinear couplings in the particle coordinates.The equilibrium positions of the heat bath oscillators are promoted to space-time…
In this paper, we consider a system of $k$ second order non-linear stochastic partial differential equations with spatial dimension $d \geq 1$, driven by a $q$-dimensional Gaussian noise, which is white in time and with some spatially…
We consider the time-dependent statistical distributions of diffusive processes in relaxation to a stationary state for simple, two dimensional chaotic models based upon random walks on a line. We show that the cumulative functions of the…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
Space fractional convection diffusion equation describes physical phenomena where particles or energy (or other physical quantities) are transferred inside a physical system due to two processes: convection and superdiffusion. In this…
We derive a stochastic wave equation for an inflaton in an environment of an infinite number of fields. We study solutions of the linearized stochastic evolution equation in an expanding universe. The Fokker-Planck equation for the inflaton…
The diffusion problem over a saddle is studied using a multi-dimensional Langevin equation. An analytical solution is derived for a quadratic potential and the probability to pass over the barrier deduced. A very simple solution is given…
We consider a time-dependent linear diffusion equation together with a related inverse boundary value problem. The aim of the inverse problem is to determine, based on observations on the boundary, the non-homogeneous diffusion coefficient…