Related papers: Does the complex Langevin method give unbiased res…
In the present article, an approach to find the exact solution of the fractional Fokker-Planck equation is presented. It is based on transforming it to a system of first-order partial differential equation via Hopf transformation, together…
We introduce a new class of Fokker-Planck equations associated with an effective generalized thermodynamical framework. These equations describe a gas of Langevin particles in interaction. The free energy can take various forms which can…
In this work we consider the unbiased estimation of expectations w.r.t.~probability measures that have non-negative Lebesgue density, and which are known point-wise up-to a normalizing constant. We focus upon developing an unbiased method…
We propose fractional Fokker-Planck equation for the kinetic description of relaxation and superdiffusion processes in constant magnetic and random electric fields. We assume that the random electric field acting on a test charged particle…
Classically, the continuous-time Langevin diffusion converges exponentially fast to its stationary distribution $\pi$ under the sole assumption that $\pi$ satisfies a Poincar\'e inequality. Using this fact to provide guarantees for the…
The complex Langevin method is a promising approach to the complex-action problem based on a fictitious time evolution of complexified dynamical variables under the influence of a Gaussian noise. Although it is known to have a restricted…
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…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
In this paper, we study the long-time behaviour of solutions to the Vlasov-Fokker-Planck equation where the confining potential is non-convex. This is a nonlocal nonlinear partial differential equation describing the time evolution of the…
We obtain exact results for fractional equations of Fokker-Planck type using evolution operator method. We employ exact forms of one-sided Levy stable distributions to generate a set of self-reproducing solutions. Explicit cases are…
Deriving evolution equations accounting for both anomalous diffusion and reactions is notoriously difficult, even in the simplest cases. In contrast to normal diffusion, reaction kinetics cannot be incorporated into evolution equations…
This paper considers stochastic optimization problems with weakly convex objective and constraint functions. We propose Prox-PEP, a proximal method equipped with quadratic subproblems. To handle nonlinear equality constraints, we employ an…
We present a numerical study of classical particles diffusing on a solid surface. The particles' motion is modeled by an underdamped Langevin equation with ordinary thermal noise. The particle-surface interaction is described by a periodic…
We obtain the existence, uniqueness and regularity results for solutions to kinetic Fokker-Planck equations with bounded measurable coefficients in the presence of boundary conditions, including the inflow, diffuse reflection and specular…
We consider the solvability of the Fokker-Planck equation with both time-dependent drift and diffusion coefficients by means of the similarity method. By the introduction of the similarity variable, the Fokker-Planck equation is reduced to…
We study the long time behaviour of the kinetic Fokker-Planck equation with mean field interaction, whose limit is often called Vlasov-Fkker-Planck equation. We prove a uniform (in the number of particles) exponential convergence to…
Usually Fokker-Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem which consists in prescribing final data: in particular we…
We study randomized variants of two classical algorithms: coordinate descent for systems of linear equations and iterated projections for systems of linear inequalities. Expanding on a recent randomized iterated projection algorithm of…
We propose a computationally efficient estimator, formulated as a convex program, for a broad class of non-linear regression problems that involve difference of convex (DC) non-linearities. The proposed method can be viewed as a significant…
Given an imprecise probabilistic model over a continuous space, computing lower/upper expectations is often computationally hard to achieve, even in simple cases. Because expectations are essential in decision making and risk analysis,…