Related papers: Invariants of Fokker-Planck equations
Weak invariants are time-dependent observables with conserved expectation values. Their fluctuations, however, do not remain constant in time. On the assumption that time evolution of the state of an open quantum system is given in terms of…
The concept of weak invariants has recently been introduced in the context of conserved quantities in finite-time processes in nonequilibrium quantum thermodynamics. A weak invariant itself has a time-dependent spectrum, but its expectation…
This paper focuses on finding an approximate solution of a kind of Fokker-Planck equation with time-dependent perturbations. A formulation of the approximate solution of the equation is constructed, and then the existence of the formulation…
In nonequilibrium classical thermostatistics, the state of a system may be described by not only dynamical/thermodynamical variables but also a kinetic distribution function. This "double structure" bears some analogy with that in quantum…
The time evolution of the two-time conditional probability of the classical stochastic process is described in an analogous form of the quantum mechanical wave equations. By using it, we emulate the same strange behaviors as those of the…
In this paper, we investigate the well-posedness of weak solutions to the time-fractional Fokker-Planck equation. Its dynamics is governed by anomalous diffusion, and we consider the most general case of space-time dependent forces.…
We study Markov processes associated with stochastic differential equations, whose non-linearities are gradients of convex functionals. We prove a general result of existence of such Markov processes and a priori estimates on the transition…
We develop the principle of dynamic invariance to obtain closed moment equations from the Fokker-Planck kinetic equation. The analysis is carried out to explicit formulae for computation of the lowest eigenvalue and of the corresponding…
The stochastic approach to inflation suffers from ambiguities due to the arbitrary choice of the time variable and due to the choice of the factor ordering in the corresponding Fokker-Planck equation. Here it is shown that both ambiguities…
The Fokker-Planck equation needs to be modified when the diffusion parameters are not constant, in order to match it with the backward equation. It even becomes simpler, and the integration of the underlying stochastic differential equation…
We consider here a Fokker--Planck equation with variable coefficient of diffusion which appears in the modeling of the wealth distribution in a multi-agent society. At difference with previous studies, to describe a society in which agents…
The stochastic approach aims at describing the long-wavelength part of quantum fields during inflation by a classical stochastic theory. It is usually formulated in terms of Langevin equations, giving rise to a Fokker-Planck equation for…
Cosmic inflation may exhibit stochastic periods during which quantum fluctuations dominate over the semi-classical evolution. Extracting observables in these regimes is a notoriously difficult program as quantum randomness makes them fully…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…
Stochastic differential equations with Levy motion arise the mathematical models for various phenomenon in geophysical and biochemical sciences. The Fokker Planck equation for such a stochastic differential equations is a nonlocal partial…
Covariance of the resulting probabilities requires the "anti-Ito" sense. The corresponding Fokker-Planck equation is simplified and preserves important features of the case with a constant diffusion. Multiplicative noise can always be…
The existence of weak solutions is established for stochastic Volterra equations with time-inhomogeneous coefficients allowing for general kernels in the drift and convolutional or bounded kernels in the diffusion term. The presented…
The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of asset returns at financial markets. For…
Computing the invariant probability measure of a randomly perturbed dynamical system usually means solving the stationary Fokker-Planck equation. This paper studies several key properties of a novel data-driven solver for low-dimensional…
One of the remarkable notions in the recent development of quantum physics is the weak value related to weak measurements. We emulate it as a two-time conditional expectation in a classical stochastic model. We use the well known…