Related papers: Feynman-Kac equation revisited
The topic of this PhD thesis is the derivation of evolution equations for probability density functions (pdfs) describing the non-Markovian response to dynamical systems under Gaussian coloured (smoothly-correlated) noise. These pdf…
Subordinating a random walk to a renewal process yields a continuous time random walk (CTRW) model for diffusion, including the possibility of anomalous diffusion. Transition densities of scaling limits of power law CTRWs have been shown to…
Charge transport processes in disordered complex media are accompanied by anomalously slow relaxation for which usually a broad distribution of relaxation times is adopted. To account for those properties of the environment, a standard…
We show that the general two-variable Langevin equations with inhomogeneous noise and friction can generate many different forms of power-law distributions. By solving the corresponding stationary Fokker-Planck equation, we can obtain a…
We consider the motion of a Brownian particle moving in a potential field and driven by dichotomous noise with exponential correlation. Traditionally, the analytic as well as the numerical treatments of the problem, in general, rely on…
We present an approach to the dynamics of interacting particle systems, which allows to derive path integral formulas from purely stochastic considerations. We show that the resulting field theory is a dual version of the standard theory of…
Odd-diffusive systems are characterized by transverse responses and exhibit unconventional behaviors in interacting systems. To address the dynamical interparticle rearrangements in a minimal system, we here exactly solve the problem of two…
In this work we focus on fluctuations of time-integrated observables for a particle diffusing in a one-dimensional periodic potential in the weak-noise asymptotics. Our interest goes to rare trajectories presenting an atypical value of the…
A two-dimensional periodic optical force field, which combines conservative dipolar forces with vortices from radiation pressure, is proposed in order to influence the diffusion properties of optically susceptible nano-particles. The…
We investigate Markov property of rough surfaces. Using stochastic analysis we characterize the complexity of the surface roughness by means of a Fokker-Planck or Langevin equation. The obtained Langevin equation enables us to regenerate…
This paper investigates the probability distribution of solutions to McKean--Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst parameter H>1/2. Our main contribution is the derivation of the associated…
Physical situations involving multiplicative noise arise generically in cosmology and field theory. In this paper, the focus is first on exact nonlinear Langevin equations, appropriate in a cosmologica setting, for a system with one degree…
A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering…
Many important transport phenomena are described by simple mathematical models rooted in the diffusion equation. Geometrical constraints present in such phenomena often have influence of a universal sort and manifest themselves in scaling…
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…
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…
We study transient work Fluctuation Relations (FRs) for Gaussian stochastic systems generating anomalous diffusion. For this purpose we use a Langevin approach by employing two different types of additive noise: (i) internal noise where the…
Mathematical models of motility are often based on random-walk descriptions of discrete individuals that can move according to certain rules. It is usually the case that large masses concentrated in small regions of space have a great…
We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise. In view of the L\'{e}vy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental…
We develop a path integral framework for determining most probable paths in a class of systems of stochastic differential equations with piecewise-smooth drift and additive noise. This approach extends the Freidlin-Wentzell theory of large…