Related papers: Variational calculus for diffusions
The diffusion coefficient--a measure of dissipation, and the entropy--a measure of fluctuation are found to be intimately correlated in many physical systems. Unlike the fluctuation dissipation theorem in linear response theory, the…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
Variational calculus on a vector bundle E equipped with a structure of a general algebroid is developed, together with the corresponding analogs of Euler-Lagrange equations. Constrained systems are introduced in the variational and in the…
This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the…
We discuss metric perturbations of the relativistic diffusion equation around the homogeneous Juttner equilibrium of massless particles in a homogeneous expanding universe. The metric perturbation describes matter distribution and the…
In this paper, we investigate the solutions for a generalized fractional diffusion equation that extends some known diffusion equations by taking a spatial time-dependent diffusion coefficient and an external force into account, which…
We describe the crossover from generalized hydrodynamics to conventional hydrodynamics in nearly integrable systems. Integrable systems have infinitely many conserved quantities, which spread ballistically in general. When integrability is…
Heat fluctuations are studied in a dissipative system with both mechanical and stochastic components for a simple model: a Brownian particle dragged through water by a moving potential. An extended stationary state fluctuation theorem is…
We study evolution equations of drift-diffusion type when various parameters are random. Motivated by applications in pedestrian dynamics, we focus on the case when the total mass is, due to boundary or reaction terms, not conserved. After…
In this PhD thesis we introduce a generalized fractional calculus of variations. We consider variational problems containing generalized fractional integrals and derivatives, and study them using standard (indirect) and direct methods. In…
We give an explicit formula for the change of speed of pushed and bistable fronts of the reaction diffusion equation when a small cutoff is applied at the unstable or metastable equilibrium point. The results are valid for arbitrary…
Statistical invariance of Wiener increments under SO(n) rotations provides a notion of gauge transformation of state-dependent Brownian motion. We show that the stochastic dynamics of non gauge-invariant systems is not unambiguously…
The discrete, the quantum, and the continuous calculus of variations, have been recently unified and extended by using the theory of time scales. Such unification and extension is, however, not unique, and two approaches are followed in the…
It is shown that as far as the linear diffusion equation meets both time- and space- translational invariance, the time dependence of a moment of degree $\alpha$ is a polynomial of degree at most equal to $\alpha$, while all connected…
The equivalence transformation algebra $L_{\cal E}$ for the class of equations $u_t -u_{xx}=f(u, u_x) $ is obtained. After getting the differential invariants with respect to $L_{\cal E}$, some results which allow to linearize a subclass of…
This topical review describes the methodology of continuum variational and diffusion quantum Monte Carlo calculations. These stochastic methods are based on many-body wave functions and are capable of achieving very high accuracy. The…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
We investigate the bounds between normal or anomalous effective diffusion for inertial particles transported by parallel flows. The infrared behavior of the fluid kinetic-energy spectrum, i.e. the possible presence of long-range…
We generalize the fractional variational problem by allowing the possibility that the lower bound in the fractional derivative does not coincide with the lower bound of the integral that is minimized. Also, for the standard case when these…