Related papers: Semi-implicit Euler-Maruyama approximation for non…
Consider a system of infinitely many Brownian particles on the real line. At any moment, these particles can be ranked from the bottom upward. Each particle moves as a Brownian motion with drift and diffusion coefficients depending on its…
In this paper, we present a numerical approach to solve the McKean-Vlasov equations, which are distribution-dependent stochastic differential equations, under some non-globally Lipschitz conditions for both the drift and diffusion…
We propose a new scheme for the long time approximation of a diffusion when the drift vector field is not globally Lipschitz. Under this assumption, regular explicit Euler scheme --with constant or decreasing step-- may explode and implicit…
We introduce a class of Markov processes conditioned to avoid intersection over a moving time window of length T>0, a setting we refer to as myopic non-intersection. In particular, we study a system of myopic non-intersecting Brownian…
We consider a class of discrete $q$-state spin models defined in terms of a translation-invariant quasilocal specification with discrete clock-rotation invariance which have extremal Gibbs measures $\mu'_{\varphi}$ labeled by the…
In this paper, we consider a system of heterogeneously interacting quantum particles subject to indirect continuous measurement. The interaction is assumed to be of the mean-field type. We derive a new limiting quantum graphon system, prove…
A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional…
Recently O'Connell introduced an interacting diffusive particle system in order to study a directed polymer model in 1+1 dimensions. The infinitesimal generator of the process is a harmonic transform of the quantum Toda-lattice Hamiltonian…
The gas of the interacted electrons is usually described within Kohn-Sham approximation by the set of Poisson and Schr\"{o}dinger equations with an effective potential for the single-particle wave functions. The solution of these equations…
In this paper, we study discrete approximation of reflected Brownian motions on domains in Euclidean space. Our approximation is given by a sequence of Markov chains on partitions of the domain, where we allow uneven or random partitions.…
In this paper we estimate the rest of the approximation of a stationary process by a martingale in terms of the projections of partial sums. Then, based on this estimate, we obtain almost sure approximation of partial sums by a martingale…
For a bi-partite quantum system defined in a finite dimensional Hilbert space we investigate in what sense entanglement change and interactions imply each other. For this purpose we introduce an entanglement operator, which is then shown to…
It is generally believed that collisions of particles reduce the self-diffusion coefficient. Here we show that in odd-diffusive systems, which are characterized by diffusion tensors with antisymmetric elements, collisions surprisingly can…
In this paper, we study both convergence and bounded variation properties of a new fully discrete conservative Lagrangian--Eulerian scheme to the entropy solution in the sense of Kruzhkov (scalar case) by using a weak asymptotic analysis.…
A system of $N$ spin-1/2 particles interacting with a thermal reservoir is used as a pedagogical example for advanced undergraduate and graduate students. We introduce and illustrate some methods, approximations, and phenomena related to…
The Smoluchowsky equation for a system of interacting Brownian particles in a temperature gradient is derived from the Kramers equation by means of a multiple time-scale method. The interparticle interactions are assumed to be represented…
Microscopic swimming particles, which dissipate energy to execute persistent directed motion, are a classic example of a non-equilibrium system. We investigate the non-interacting Ornstein--Uhlenbeck Particle (OUP), which is propelled…
We consider one-dimensional diffusions, with polynomial drift and diffusion coefficients, so that in particular the motion can be space-inhomogeneous, interacting via one-sided reflections. The prototypical example is the well-known model…
The quasi-neutral hybrid model with kinetic ions and fluid electrons is a promising approach for bridging the inherent multi-scale nature of many problems in space and laboratory plasmas. Here, a novel, implicit, particle-in-cell based…
We present a finite-difference integration algorithm for solution of a system of differential equations containing a diffusion equation with nonlinear terms. The approach is based on Crank-Nicolson method with predictor-corrector algorithm…