Related papers: Fractional stochastic differential equations satis…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…
In this article, a numerical scheme is introduced for solving the fractional partial differential equation (FPDE) arising from electromagnetic waves in dielectric media (EMWDM) by using an efficient class of finite difference methods. The…
Brownian motion occurs in a variety of fluids, from rare gases to liquids. The Langevin equation, describing friction and agitation forces in statistical balance, is one of the most successful ways to treat the phenomenon. In rare gases, it…
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a…
Dynamical random walk of classical particle in thermodynamically equilibrium fluctuating medium, - Gaussian random potential field, - is considered in the framework of explicit stochastic representation of deterministic interactions. We…
We present a statistical mechanics framework for modeling equilibrium friction coefficients using the Generalized Langevin Equation (GLE). We show that the kernel, obtained via the Fluctuation-Dissipation Theorem (FDT) from the stochastic…
Recent works have reported on the collective behavior of multiphase systems under fractional flow. Such behavior has been linked to pressure and/or flux fluctuations under stationary flow conditions that occur over a broad range of…
The fluctuation-response relation is a fundamental relation that is applicable to systems near equilibrium. On the other hand, when a system is driven far from equilibrium, this relation is violated in general because the detailed-balance…
We consider fluctuations of the dissipated energy in nonlinear driven diffusive systems subject to bulk dissipation and boundary driving. With this aim, we extend the recently-introduced macroscopic fluctuation theory to nonlinear driven…
The fluctuation dissipation theorem (FDT) is the basis for a microscopic description of the interaction between electromagnetic radiation and matter.By assuming the electromagnetic radiation in thermal equilibrium and the interaction in the…
Necessary and sufficient conditions are presented for the existence of (second order) stationary solutions of the generalized Langevin equation under appropriate assumptions on the associated memory kernel. When this stochastic equation is…
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the index properties, but they are not differentiable. We overcome the…
In this paper we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces stationary processes with hyperbolically decaying…
We develop quantitative error estimates connecting microscopic fluctuation of interacting particle systems with the mobilities of their hydrodynamic limits. Focusing on the Symmetric Simple Exclusion Process and systems of independent…
Damping on an object generally depends on its conformation (shape size etc.). We consider the Langevin dynamics of a model system with a conformation dependent damping and generalize the fluctuation dissipation relation to fit in such a…
The fluctuation-dissipation relation (FDR) links thermal fluctuations and dissipation at thermal equilibrium through temperature. Extending it beyond equilibrium conditions in pursuit of broadening thermodynamics is often feasible, albeit…
This paper develops a fractional stochastic partial differential equation (SPDE) to model the evolution of a random tangent vector field on the unit sphere. The SPDE is governed by a fractional diffusion operator to model the L\'{e}vy-type…
The fluctuation-dissipation relation is calculated for a class of stochastic models obeying a master equation. The transition rates are assumed to obey detailed balance also in the presence of a field. It is shown that in general the linear…
Fractional Brownian motions(fBMs) are not semimartingales so the classical theory of It\^o integral can't apply to fBMs. Wick integration as one of the applications of Malliavin calculus to stochastic analysis is a fine definition for fBMs.…
The main goal of this paper is to provide a fractional stochastic differential equation modelling the physical phenomena governed by the Langevin equation in 1-dimension. A generalized equation leaning on the fractional Brownian motion…