Related papers: Force-linearization closure for non-Markovian Lang…
In this paper we suggest a consistent approach to derivation of generalized Fokker-Planck equation (GFPE) for Gaussian non-Markovian processes with stationary increments. This approach allows us to construct the probability density function…
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.…
We present a new stability and convergence analysis for the spatial discretization of a time-fractional Fokker--Planck equation in a convex polyhedral domain, using continuous, piecewise-linear, finite elements. The forcing may depend on…
This paper studies the finite-time stability and stabilization of linear discrete time-varying stochastic systems with multiplicative noise. Firstly, necessary and sufficient conditions for finite-time stability are presented via state…
We consider the natural Langevin dynamics which is reversible with respect to the mean-field plane rotator (or classical spin XY) measure. It is well known that this model exhibits a phase transition at a critical value of the interaction…
We get fractional symmetric Fokker - Planck and Einstein - Smoluchowski kinetic equations, which describe evolution of the systems influenced by stochastic forces distributed with stable probability laws. These equations generalize known…
This paper presents an analysis approach to finite-time attraction in probability concerns with nonlinear systems described by nonlinear random differential equations (RDE). RDE provide meticulous physical interpreted models for some…
Understanding the interplay of order and disorder in chaotic systems is a central challenge in modern quantitative science. We present a universal, data-driven decomposition of chaos as an intermittently forced linear system. This work…
We extend the Langevin approach to a class of driving noises whose generating processes have independent increments with super-heavy-tailed distributions. The time-dependent generalized Fokker-Planck equation that corresponds to the…
When analysing statistical systems or stochastic processes, it is often interesting to ask how they behave given that some observable takes some prescribed value. This conditioning problem is well understood within the linear operator…
We analyze a recently proposed class of algorithms for the problem of sampling from probability distributions $\mu^\ast$ in $\mathbb{R}^d$ with a Lebesgue density of the form $\mu^\ast(x) \propto \exp(-f(Kx)-g(x))$, where $K$ is a linear…
We apply stochastic quantization method to matrix models for the second quantization of loops in both discretized and continuum levels. The fictitious time evolution described by the Langevin equation is interpreted as the time evolution in…
We propose a fully discrete finite volume scheme for the standard Fokker-Planck equation. The space discretization relies on the well-known square-root approximation, which falls into the framework of two-point flux approximations. Our time…
We consider a class of piecewise-deterministic Markov processes where the state evolves according to a linear dynamical system. This continuous time evolution is interspersed by discrete events that occur at random times and change (reset)…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical and empirical reasons to consider similar equations driven by…
The non-Markovian dynamics of open quantum systems is still a challenging task, particularly in the non-perturbative regime at low temperatures. While the Stochastic Liouville-von Neumann equation (SLN) provides a formally exact tool to…
We present a canonical phase space approach to stochastic systems described by Langevin equations driven by white noise. Mapping the associated Fokker-Planck equation to a Hamilton-Jacobi equation in the nonperturbative weak noise limit we…
The reduction of a continuous Markov process with multiple metastable states to a discrete rate process is investigated in the presence of slow time dependent parameters such as periodic external forces or slowly fluctuating barrier…
We consider a system of Fokker-Planck-Kolmogorov (FPK) equations, where the dependence of the coefficients is nonlinear and nonlocal in time with respect to the unknowns. We extend the numerical scheme proposed and studied recently by the…
To close the moment model deduced from kinetic equations, the canonical approach is to provide an approximation to the flux function not able to be depicted by the moments in the reduced model. In this paper, we propose a brand new closure…