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We consider a stochastic process undergoing resetting after which a random refractory period is imposed. In this period the process is quiescent and remains at the resetting position. Using a first-renewal approach, we compute exactly the…
The generalized master equation with two times, introduced in earlier, applies to the problem of diffusion in an time-dependent (in general inhomogeneous) external field. We consider the case of the quasi Fokker-Planck approximation, when…
We present a spectral-theoretic approach to time-average statistical mechanics for general, non-equilibrium initial conditions. We consider the statistics of bounded, local additive functionals of reversible as well as irreversible ergodic…
This paper is devoted to the fractional generalization of the Fokker-Planck equation associated with a stochastic differential equation in a bounded domain. The driving process of the stochastic differential equation is a L\'evy process…
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…
In this work, 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…
In this work, we consider subordinated processes controlled by a family of subordinators which consist of a power function of time variable and a negative power function of $\alpha-$stable random variable. The effect of parameters in the…
In this paper we extend the recent work of C.A. Braumann \cite{B2007} to the case of stochastic differential equation with random coefficients. Furthermore, the relationship of the It\^o-Stratonovich stochastic calculus to studies of random…
This work presents a randomized-tamed Milstein scheme for stochastic differential equations whose drift coefficient exhibits superlinear growth in the state variable and limited temporal regularity, quantified by $\beta$-H\"older continuity…
We study various solution behaviors of scale equations which are recently proposed in \cite{Kim}. On the contrary to conventional mathematical tools, scale equations are capable to accommodate various behaviors at different scale levels…
In this work, we consider the regularity property of stochastic convolutions for a class of abstract linear stochastic retarded functional differential equations with unbounded operator coefficients. We first establish some useful estimates…
We model thermostatic devices using a stochastic hybrid description, and introduce an external actuation mechanism that creates random switch events in the discrete dynamics. We then conjecture the form of the Fokker-Planck equation and…
Many physical phenomena are modeled as stochastic searchers looking for targets. In these models, the probability that a searcher finds a particular target, its so-called hitting probability, is often of considerable interest. In this work…
In this paper, we consider a class of slow-fast systems of stochastic partial differential equations where the nonlinearity in the slow equation is not continuous and unbounded. We first provide conditions that ensure the existence of a…
In this paper, we consider the extended stochastic Navier-Stokes equations with Caputo derivative driven by fractional Brownian motion. We firstly derive the pathwise spatial and temporal regularity of the generalized Ornstein-Uhlenbeck…
This paper presents a new stochastic finite element method for computing structural stochastic responses. The method provides a new expansion of stochastic response and decouples the stochastic response into a combination of a series of…
In this paper we study the solutions of different forms of fractional equations on the unit sphere $\mathbb{S}_{1}^{2}$ $\subset \mathbb{R}^{3}$ possessing the structure of time-dependent random fields. We study the correlation functions of…
Fractional calculus provides a rigorous mathematical framework to describe anomalous stochastic processes by generalizing the notion of classical differential equations to their fractional-order counterparts. By introducing the fractional…
We obtain equilibration rates for a one-dimensional nonlocal Fokker-Planck equation with time-dependent diffusion coefficient and drift, modeling the relaxation of a large swarm of robots, feeling each other in terms of their distance,…
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…