Related papers: From Generalized Langevin Equations to Brownian Dy…
We discuss the well known Einstein and the Kubo Fluctuation Dissipation Relations (FDRs) in the wider framework of a generalized FDR for systems with a stationary probability distribution. A multi-variate linear Langevin model, which…
We investigate numerical approximations for the stochastic Burgers equation driven by an additive cylindrical fractional Brownian motion with Hurst parameter $H \in (\frac{1}{2}, 1)$. To discretize the continuous problem in space, a…
We present a numerical scheme for simulating the dynamics of Brownian particles suspended in a fluid. The motion of the particles is tracked by the Langevin equation, whereas the host fluid flow is analyzed by using the lattice Boltzmann…
We propose a microscopic stochastic approach to improve description of nuclear dynamics beyond the mean-field approximation at low energies. It is shown that, for small amplitude fluctuations, the proposed model gives a result for the…
Computing analytically the $n$-point density correlations in systems of interacting particles is a long-standing problem of statistical physics, with a broad range of applications, from the interpretation of scattering experiments in simple…
Financial markets have long since been modeled using stochastic methods such as Brownian motion, and more recently, rough volatility models have been built using fractional Brownian motion. This fractional aspect brings memory into the…
We study simple approximations to fractional Gaussian noise and fractional Brownian motion. The approximations are based on spectral properties of the noise. They allow one to consider the noise as the result of fractional…
We present an efficient method for simulating a stationary Gaussian noise with an arbitrary covariance function and then study numerically the impact of time-correlated noise on the time evolution of a 1 + 1 dimensional generalized Langevin…
When the density of the fluid surrounding suspended Brownian particles is appreciable, in addition to the forces appearing in the traditional Ornstein and Uhlenbeck theory of Brownian motion, additional forces emerge as the displaced fluid…
Entropy production in stochastic mechanical systems is examined here with strict bounds on its rate. Stochastic mechanical systems include pure diffusions in Euclidean space or on Lie groups, as well as systems evolving on phase space for…
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
Dynamics simulations of constrained particles can greatly aid in understanding the temporal and spatial evolution of biological processes such as lateral transport along membranes and self-assembly of viruses. Most theoretical efforts in…
In this paper, a generalized Brownian motion model has been applied to describe the relative particle dispersion problem in more realistic turbulent flows. The fluctuating pressure forces acting on a fluid particle are taken to be a colored…
We study the convergence to equilibrium of an underdamped Langevin equation that is controlled by a linear feedback force. Specifically, we are interested in sampling the possibly multimodal invariant probability distribution of a Langevin…
Stimulated by experimental progress in high energy physics and astrophysics, the unification of relativistic and stochastic concepts has re-attracted considerable interest during the past decade. Focusing on the framework of special…
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic…
Study of Langevin dynamics and the fluctuation-dissipation relation (FDR) for a generic probe system (represented by a mass $M$), bilinearly coupled to a bath of harmonic oscillators, has been a standard paradigm for a microscopic theory of…
We consider a stochastically forced nonlinear oscillator driven by a stationary Gaussian noise that has an algebraically decaying covariance function. It is well known that such noise processes can be renormalized to converge to fractional…
In the present work, by using the method of accumulation of phase shifts in the rotating frame, the attenuation function S(t) of the NMR signal from an ensemble of spin-bearing particles in a magnetic-field gradient is expressed through the…