Related papers: Feynman-Kac equation revisited
The basic conceptual picture and theoretical basis for development of transport equations in porous media are examined. The general form of the governing equations is derived for conservative chemical transport in heterogeneous geological…
The phenomena of subdiffusion are widely observed in physical and biological systems. To investigate the effects of external potentials, say, harmonic potential, linear potential, and time dependent force, we study the subdiffusion…
We treat a relativistically moving particle interacting with a quantum field from an open system viewpoint of quantum field theory by the method of influence functionals or closed-time-path coarse-grained effective actions. The particle…
We investigate the stochastic motion of a Brownian particle in the harmonic potential with a time-dependent force constant. It may describe the motion of a colloidal particle in an optical trap where the potential well is formed by a…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
In this more pedagogical study we want to elucidate on stochastic aspects inherent to the (non-)equilibrium real time Green's function description (or `closed time path Green's function' -- CTPGF) of transport equations, the so called…
A time-discrete approach avoids the assumption of an 'integration sense'. New path increments (in a short time step) are complete in the order of that step, and not Gaussian distributed when the noise is multiplicative; this eliminates an…
Many complex systems are characterized by intriguing spatio-temporal structures. Their mathematical description relies on the analysis of appropriate correlation functions. Functional integral techniques provide a unifying formalism that…
The foundations of the fractional diffusion equation are investigated based on coupled and decoupled continuous time random walks (CTRW). For this aim we find an exact solution of the decoupled CTRW, in terms of an infinite sum of stable…
The definition and manipulation of Langevin equations with multiplicative white noise require special care (one has to specify the time discretisation and a stochastic chain rule has to be used to perform changes of variables). While…
Continuous time random walks and Langevin equations are two classes of stochastic models for describing the dynamics of particles in the natural world. While some of the processes can be conveniently characterized by both of them, more…
The~numerical solutions to a non-linear Fractional Fokker--Planck (FFP) equation are studied estimating the generalized diffusion coefficients. The~aim is to model anomalous diffusion using an FFP description with fractional velocity…
Stochastic resetting is a rapidly developing topic in the field of stochastic processes and their applications. It denotes the occasional reset of a diffusing particle to its starting point and effects, inter alia, optimal first-passage…
A continuous Markovian model for truncated Levy random walks is proposed. It generalizes the approach developed previously by Lubashevsky et al. Phys. Rev. E 79, 011110 (2009); 80, 031148 (2009), Eur. Phys. J. B 78, 207 (2010) allowing for…
Active colloidal particles that are propelled by a self-diffusiophoretic mechanism are often described by Langevin equations that are either postulated on physical grounds or derived using the methods of fluctuating hydrodynamics. While…
The stochastic dynamics of a rigid inclusion constrained to move on a curved surface has many applications in biological and soft matter physics, ranging from the diffusion of passive or active membrane proteins to the motion of phoretic…
In this thesis, we develop analytical methods to study out-of-equilibrium stochastic processes driven by colored noise, i.e., noise with temporal correlations. These non-Markovian processes pose significant analytical challenges compared to…
We demonstrate that the conventional path integral formulations generate inconsistent results exemplified by the geometric Brownian motion under the general stochastic interpretation. We thus develop a novel path integral formulation for…
We prove the path-by-path well-posedness of stochastic porous media and fast diffusion equations driven by linear, multiplicative noise. As a consequence, we obtain the existence of a random dynamical system. This solves an open problem…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…