Related papers: Feynman-Kac equation revisited
In many instances, the dynamical richness and complexity observed in natural phenomena can be related to stochastic drives influencing their temporal evolution. For example, random noise allied to spatial asymmetries may induce…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
The combined Continuous Time Random Walk (CTRW) in position and momentum space is introduced, in the form of two coupled integral equations that describe the evolution of the probability distribution for finding a particle at a certain…
Some specific features and extensions of the continuous time random walk (CTRW) approach are analyzed in detail within the Markovian representation (MR) and CTRW-based non-Markovian stochastic Liouville equation (SLE). In the MR CTRW…
Recent rapid advances in single particle tracking and supercomputing techniques resulted in an unprecedented abundance of diffusion data exhibiting complex behaviours, such the presence of power law tails of the msd and memory functions,…
We present the theoretical analysis of the steady state currents and density distributions of particles moving with Langevin dynamics, under the effects of an external potential displaced at constant rate. The Dynamic Density Functional…
The two-variable Langevin equations, modeling the Brownian motion of a particle moving in a potential and leading to the Maxwell-Boltzmann distribution of the corresponding Fokker-Planck equation, are shown to give rise to types of…
We introduce a new method, allowing to describe slowly time-dependent Langevin equations through the behaviour of individual paths. This approach yields considerably more information than the computation of the probability density. The main…
The diffusion behavior of particles moving in complex heterogeneous environment is a very topical issue. We characterize particle's trajectory via an underdamped Langevin system driven by a Gaussian white noise with a time dependent…
Linear dynamical systems, driven by a non-white noise which has the Levy distribution, are analysed. Noise is modelled by a specific stochastic process which is defined by the Langevin equation with a linear force and the Levy distributed…
We present a simple derivation of the stochastic equation obeyed by the density function for a system of Langevin processes interacting via a pairwise potential. The resulting equation is considerably different from the phenomenological…
In this paper continuous time random walk models approximating fractional space-time diffusion processes are studied. Stochastic processes associated with the considered equations represent time-changed processes, where the time-change…
A Langevin equation is proposed to describe the transport of overdamped Brownian particles in a periodic rough potential and driven by an unbiased periodic force. The equation can be transformed into the Fokker-Planck equation by using the…
The following question is addressed: under what conditions can a strange diffusive process, defined by a semi-dynamical V-Langevin equation or its associated Hybrid kinetic equation (HKE), be described by an equivalent purely stochastic…
Many complex systems are described by Langevin-type equations in which the noise exhibits long-range correlations and couples to the system in a state-dependent, multiplicative manner, leading to heterogeneous non-Markovian diffusion. Here,…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
We derive a generalized quantum Langevin equation and its fluctuation-dissipation relation describing the quantum dynamics of a tagged particle interacting with a medium (environment), where both the particle and the environment are driven…
We study the generalized Langevin equation approach to anomalous diffusion for a harmonic oscillator and a free particle driven by different forms of internal noises, such as power-law-correlated and distributed-order noises that fulfil…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
We study the dynamics of Brownian particles in a heterogeneous one-dimensional medium with a spatially-dependent diffusion coefficient of the form $D(x)\sim |x|^c$, at constant temperature. The particle's probability distribution function…