Related papers: A stochastic diffusion process for Lochner's gener…
The Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and are thus widely used to quantify random phenomena such as uncertainty propagation. For dynamical systems driven by non-Gaussian…
We consider a stochastic logistic growth model involving both birth and death rates in the drift and diffusion coefficients for which extinction eventually occurs almost surely. The associated complete Fokker-Planck equation describing the…
This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…
This paper is devoted to a fractional generalization of the Dirichlet distribution. The form of the multivariate distribution is derived assuming that the $n$ partitions of the interval $[0,W_n]$ are independent and identically distributed…
We present a general phase-space kinetic model for charged particle transport through combined localised and delocalised states, capable of describing scattering collisions, trapping, detrapping and losses. The model is described by a…
This paper focuses on the long-term behavior of solutions to nonlinear stochastic Fokker-Planck equations driven by common noise, where the drift term has a linear dependence on the measure. These equations, which describe the evolution of…
We present a framework, which, from the trajectories detailing the spatiotemporal dynamics of a population, simultaneously reconstructs a transport map as well as the Fokker-Planck equation governing the coarse-grained probability…
The goal of this paper is to study weak solutions of the Fokker-Planck equation. We first discuss existence and uniqueness of weak solutions in an irregular context, providing a unified treatment of the available literature along with some…
A self-consistent and universal description of friction and diffusion for Brownian particles (grains) in different systems, as a gas with Boltzmann collisions, dusty plasma with ion absorption by grains, and for active particles (e.g.,…
This paper deals with uncertainty propagation of general stochastic hybrid systems (GSHS) where the continuous state space is a compact Lie group. A computational framework is proposed to solve the Fokker-Planck (FP) equation that describes…
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…
A generalized Fokker-Planck equation is derived to describe particle kinetics in specific situations when the probability transition function (PTF) has a long tail in momentum space. The equation is valid for an arbitrary value of the…
The temporal Fokker-Plank equation [{\it J. Stat. Phys.}, {\bf 3/4}, 527 (2003)] or propagation-dispersion equation was derived to describe diffusive processes with temporal dispersion rather than spatial dispersion as in classical…
A partial differential equation governing the global evolution of the joint probability distribution of an arbitrary number of local flow observations, drawn randomly from a control volume, is derived and applied to examples involving…
We consider a stochastic model of the two-dimensional chemostat as a diffusion process for the concentration of substrate and the concentration of biomass. The model allows for the washout phenomenon: the disappearance of the biomass inside…
Stochastic processes play a key role for modeling a huge variety of transport problems out of equilibrium, with manifold applications throughout the natural and social sciences. To formulate models of stochastic dynamics the conventional…
General self-consistent expressions for the coefficients of diffusion and dynamical friction in a stable, bound, multicomponent self-gravitating and inhomogeneous system are derived. They account for the detailed dynamics of the colliding…
We consider the solvability of the Fokker-Planck equation with both time-dependent drift and diffusion coefficients by means of the similarity method. By the introduction of the similarity variable, the Fokker-Planck equation is reduced to…
We outline a statistical theory of turbulence based on the Lagrangian formulation of fluid motion. We derive a hierarchy of evolution equations for Lagrangian N-point probability distributions as well as a functional equation for a suitably…
A Fokker-Planck equation approach for the treatment of non-Markovian stochastic processes is proposed. The approach is based on the introduction of fictitious trajectories sharing with the real ones their local structure and initial…