Related papers: Variational calculus for diffusions
Fractional calculus allows one to generalize the linear, one-dimensional, diffusion equation by replacing either the first time derivative or the second space derivative by a derivative of fractional order. The fundamental solutions of…
This paper derives the Fokker-Planck (FP) equation for a particle moving in potential by a randomly modulated dipole. The FP equation describes the anomalous diffusion observed in the companion paper [1] and breaks the conservation of the…
Basic derivative formulas are presented for hypoelliptic heat semigroups and harmonic functions extending earlier work in the elliptic case. Emphasis is placed on developing integration by parts formulas at the level of local martingales.…
We develop in this paper a new framework for discrete calculus of variations when the actions have densities involving an arbitrary discretization operator. We deduce the discrete Euler-Lagrange equations for piecewise continuous critical…
For the concrete model of Brownian particles dynamics in non-uniform environment, the time interval estimation is constructed, on which phenomenological Fick laws for diffusion phenomenon description can be used. The knowledge of these…
Fluctuation Theorems are statements about the entropy of systems far from thermal equilibrium. In this Letter relativistic Fluctuation Theorems for Brownian motion are presented and proven. Though there is a known discretization dilemma…
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure…
Using simple kinematical arguments, we derive the Fokker-Planck equation for diffusion processes in curved spacetimes. In the case of Brownian motion, it coincides with Eckart's relativistic heat equation (albeit in a simpler form), and…
A \emph{double extrema form} of the calculus of variations is put forward in which only the smallest one of the finite differences is physically meaningful to represent the variational derivatives defined on the discrete points. The most…
We study invariant solutions of a certain class of time-fractional diffusion-wave equations with variable coefficients via Lie symmetry analysis. In physics, the fractional diffusion equation describes transport dynamics that are governed…
In this note we consider generalized diffusion equations in which the diffusivity coefficient is not necessarily constant in time, but instead it solves a nonlinear fractional differential equation involving fractional Riemann-Liouville…
A new approach to Brownian motion of atomic clusters on solid surfaces is developed. The main topic discussed is the dependence of the diffusion coefficient on the fit between the surface static potential and the internal cluster…
We present unbiased, finite--variance estimators of energy derivatives for real--space diffusion Monte Carlo calculations within the fixed--node approximation. The derivative $d_\lambda E$ is fully consistent with the dependence…
We propose a Langevin equation for systems in an environment with nonuniform temperature. At odds with an older proposal, ours admits a locally Maxwellian steady state, local equipartition holds and for detailed-balanced (reversible)…
We consider the motion of a particle governed by a weakly random Hamiltonian flow. We identify temporal and spatial scales on which the particle trajectory converges to a spatial Brownian motion. The main technical issue in the proof is to…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
In the first paper of this series, I investigated whether a wavefunction model of a heavy particle and a collection of light particles might generate "Brownian-Motion-Like" trajectories of the heavy particle. I concluded that it was…
In models of oceanic and atmospheric flows, thermodynamic functions and conservative variables may be defined up to a certain degree of arbitrariness, in the sense that, for a given set of observable quantities such as pressure and…
We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo…
Fractional calculus, in allowing integrals and derivatives of any positive order (the term "fractional" kept only for historical reasons), can be considered a branch of mathematical physics which mainly deals with integro-differential…