Related papers: Nonlinear Fokker-Planck equations for Probability …
Motivated by the probabilistic representation for solutions of the Navier-Stokes equations, we introduce a novel class of stochastic differential equations that depend on the entire flow of its time marginals. We establish the existence and…
In this paper, we define random quasi-periodic paths for random dynamical systems and quasi-periodic measures for Markovian semigroups. We give a sufficient condition for the existence and uniqueness of random quasi-periodic paths and…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
The Fokker-Planck equation can be reformulated as a continuity equation, which naturally suggests using the associated velocity field in particle flow methods. While the resulting probability flow ODE offers appealing properties - such as…
The method of choice for integrating the time-dependent Fokker-Planck equation in high-dimension is to generate samples from the solution via integration of the associated stochastic differential equation. Here, we study an alternative…
We present a method for the nonparametric estimation of the drift function of certain types of stochastic differential equations from the empirical density. It is based on a variational formulation of the Fokker-Planck equation. The…
Equation of long-range particle drift and diffusion on three-dimensional physical lattice is suggested. This equation can be considered as a lattice analogof space-fractional Fokker-Planck equation for continuum. The lattice approach gives…
The focus of this paper is a non-local singular non-linear Fokker-Planck partial differential equation (PDE). The peculiarity of this PDE feature is in its divergence coefficient, which presents a product between a Besov distribution and a…
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…
The work concerns a class of path-dependent McKean-Vlasov stochastic differential equations with unknown parameters. First, we prove the existence and uniqueness of these equations under non-Lipschitz conditions. Second, we construct…
This paper studies computational methods for quasi-stationary distributions (QSDs). We first proposed a data-driven solver that solves Fokker-Planck equations for QSDs. Similar as the case of Fokker-Planck equations for invariant…
We consider a non-linear parabolic partial differential equation (PDE) on $\mathbb R^d$ with a distributional coefficient in the non-linear term. The distribution is an element of a Besov space with negative regularity and the non-linearity…
In terms of a nice reference probability measure, integrability conditions on the path-dependent drift are presented for (infinite-dimensional) degenerate PDEs to have regular positive solutions. To this end, the corresponding stochastic…
We associate a coupled nonlinear Fokker-Planck equation on $\R^d$, i.e. with solution paths in $\scr P$, to a linear Fokker-Planck equation for probability measures on the product space $\R^d\times \scr P$, i.e. with solution paths in $\scr…
This work is concerned with the existence of mild solutions and the uniqueness of distributional solutions to nonlinear Fokker-Planck equations with nonlocal operators $\Psi(-\Delta)$, where $\Psi$ is a Bernstein function. As applications,…
In this paper we present nonparametric estimators for coefficients in stochastic differential equation if the data are described by independent, identically distributed random variables. The problem is formulated as a nonlinear ill-posed…
One proves the existence and uniqueness of a generalized (mild) solution for the nonlinear Fokker-Planck equation (FPE) \begin{align*} &u_t-\Delta (\beta(u))+{\mathrm{ div}}(D(x)b(u)u)=0, \quad t\geq0,\ x\in\mathbb{R}^d,\ d\ne2, \\…
A Fokker-Planck equation approach for the treatment of non-Markovian stochastic processes is proposed. The approach is based on the introduction of fictitious trajectories sharing with the real ones their local structure and initial…
The trajectories of diffusion processes are continuous but non-differentiable, and each occurs with vanishing probability. This introduces a gap between theory, where path probabilities are used in many contexts, and experiment, where only…
We have derived a fractional Fokker-Planck equation for subdiffusion in a general space-and- time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived…