Related papers: Efficient numerical calculation of drift and diffu…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…
Using the methods of kinetic theory expressions for the diffusion and drift coefficients for a cold Fermi system are obtained. Their dependences on the momentum are calculated for the step distribution function as well as in the case of…
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to…
The global estimation problem of the drift function is considered for a large class of ergodic diffusion processes. The unknown drift $S(\cdot)$ is supposed to belong to a nonparametric class of smooth functions of order $k\geq1$, but the…
We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…
In this paper we consider the numerical solutions for a class of jump diffusions with Markovian switching. After briefly reviewing necessary notions, a new jump-adapted efficient algorithm based on the Euler scheme is constructed for…
We approximate a diffusion equation with highly oscillatory coefficients with a diffusion equation with constant coefficients. The approach is put in action in contexts where only partial information (namely the global energy stored in the…
We discuss the effective diffusion constant $D_{{\it eff}}$ for stochastic processes with spatially-dependent noise. Starting from a stochastic process given by a Langevin equation, different drift-diffusion equations can be derived…
We discuss the distribution of various estimators for extracting the diffusion constant of single Brownian trajectories obtained by fitting the squared displacement of the trajectory. The analysis of the problem can be framed in terms of…
A non-parametric diffusion model with an additive fractional Brownian motion noise is considered in this work. The drift is a non-parametric function that will be estimated by two methods. On one hand, we propose a locally linear estimator…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
Diffusion studies of adsorbates moving on a surface are often analyzed using 2D Langevin simulations. These simulations are computationally cheap and offer valuable insight into the dynamics, however, they simplify the complex interactions…
Langevin dynamics has become a popular tool to simulate the Boltzmann equilibrium distribution. When the repartition of the Langevin equation involves the exact realization of the Ornstein-Uhlenbeck noise, in addition to the conventional…
In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of interacting particles. The analysis is provided in a general…
We study efficiency of non-parametric estimation of diffusions (stochastic differential equations driven by Brownian motion) from long stationary trajectories. First, we introduce estimators based on conditional expectation which is…
The nonlinear boson diffusion equation is taken as a basis to account for the fast thermalization of gluons in the initial stages of relativistic heavy-ion collisions. For constant drift and diffusion coefficients with schematic initial…
Levy walks define a fundamental concept in random walk theory which allows one to model diffusive spreading that is faster than Brownian motion. They have many applications across different disciplines. However, so far the derivation of a…
We suggest the diffuse approach to the relaxation processes within the kinetic theory for the Wigner distribution function. The diffusion and drift coefficients are evaluated taking into consideration the interparticle collisions on the…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
We propose a general methodology for calculating the self-diffusion tensor from molecular dynamics for a liquid with a liquid-gas or liquid-solid interface. The standard method used in bulk fluids, based on computing the mean square…