Related papers: Ornstein-Uhlenbeck approximation of one-step proce…
We present an analitical study of the dynamical process of the approach to steady state for a driven diffusive system represented by the microemulsion phase of a ternary mixture. The external applied field is given by a plane Couette shear…
We characterize a stochastic dynamical system with tempered stable noise, by examining its probability density evolution. This probability density function satisfies a nonlocal Fokker-Planck equation. First, we prove a superposition…
A numerical solution to the Fokker-Planck equation using a two-level scheme is presented. The Fokker-Planck (FP) equation is of parabolic type equation govern the time evolution of probability density function of the stochastic processes.…
The concern of the present paper is the design of efficient numerical schemes for a specific Fokker-Planck equation describing the dynamics of energetic particles occurring in thermonuclear fusion plasmas (runaway electrons for example). In…
Recently, the fractional Fokker-Planck equations (FFPEs) with multiple internal states are built for the particles undergoing anomalous diffusion with different waiting time distributions for different internal states, which describe the…
The basic purpose of this work was to suggest universal quantitative description of ergodic system intermediate bifurcation and obligatory conditions of this transition. Conditions for existence of phase state and first order phase…
In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…
The relative entropy for two different degenerate diffusion processes is estimated by using the Wasserstein distance of initial distributions and the difference between coefficients. As applications, the entropy cost inequality and…
Wasserstein gradient flows provide a powerful means of understanding and solving many diffusion equations. Specifically, Fokker-Planck equations, which model the diffusion of probability measures, can be understood as gradient descent over…
The object of this paper is the uniqueness for a $d$-dimensional Fokker-Planck type equation with non-homogeneous (possibly degenerated) measurable not necessarily bounded coefficients. We provide an application to the probabilistic…
It is considered Ornstein-Uhlenbeck process $ x_t = x_0 e^{-\theta t} + \mu (1-e^{-\theta t}) + \sigma \int_0^t e^{-\theta (t-s)} dW_s$, where $x_0 \in R$, $\theta>0$, $ \mu \in R$ and $\sigma > 0$ are parameters. By use values $(z_k)_{k…
We introduce a novel numerical scheme for solving the Fokker-Planck equation of discretized Dean-Kawasaki models with a functional tensor network ansatz. The Dean-Kawasaki model describes density fluctuations of interacting particle…
We derive the steady state solution of the Fokker-Planck equation that describes the dynamics of the nondegenerate optical parametric oscillator in the truncated Wigner representation of the density operator. We assume that the pump mode is…
We develop a recursive method for perturbative solutions of the Fokker-Planck equation with nonlinear drift. The series expansion of the time-dependent probability density in terms of powers of the coupling constant is obtained by solving a…
I report a study of the nonstationary one-dimensional Fokker-Planck solutions by means of the strictly isospectral method of supesymmetric quantum mechanics. The main conclusion is that this technique can lead to a space-dependent…
In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…
We propose a discrete lattice version of the Fokker-Planck kinetic equation along lines similar to the Lattice-Boltzmann scheme. Our work extends an earlier one-dimensional formulation to arbitrary spatial dimension $D$. A generalized…
It is well-known that the transition function of the Ornstein-Uhlenbeck process solves the Fokker-Planck equation. This standard setting has been recently generalized in different directions, for example, by considering the so-called…
We present a new method based on functional tensor decomposition and dynamic tensor approximation to compute the solution of a high-dimensional time-dependent nonlinear partial differential equation (PDE). The idea of dynamic approximation…
In this paper we show the existence and uniqueness for a class of density dependent SDEs with bounded measurable drift, where the existence part is based on Euler's approximation for density dependent SDEs and the uniqueness is based on the…