Related papers: Lie symmetries methods in boundary crossing proble…
Systems where resource availability approaches a critical threshold are common to many engineering and scientific applications and often necessitate the estimation of first passage time statistics of a Brownian motion (Bm) driven by…
Employing time-dependent projection formalism, a Fokker-Planck equation with non-Markovian transport coefficients is derived for large amplitude collective motion. Properties of transport coefficients for diffusion processes in a potential…
We consider the numerical integration of Langevin equations for particles in a channel, in the presence of boundary conditions fixing the concentration values at the ends. This kind of boundary condition appears for instance when…
The time-fractional convection-diffusion equation is performed by Lie symmetry analysis method which involves the Riemann-Liouville time-fractional derivative of the order $\alpha\in(0,2)$. In eight cases, the symmetries are obtained and…
The aim of this paper is to discuss the appropriate modelling of in- and outflow boundary conditions for nonlinear drift-diffusion models for the transport of particles including size exclusion and their effect on the behaviour of…
Applying Lie symmetry method, we find the most general Lie point symmetries group of the radiation natural convection flow equation(RNC). Looking the adjoint representation of the obtained symmetry group on its Lie algebra, we will find the…
Nonlinear boundary value problems (BVPs) by means of the classical Lie symmetry method are studied. A new definition of Lie invariance for BVPs is proposed by the generalization of existing those on much wider class of BVPs. A class of…
We prove convergence of symmetric diffusions on Wiener spaces by using stopping times arguments and capacity techniques. The drifts of the diffusions can be singular, we require the densities of the processes to be neither bounded from…
A nonlinear reaction-diffusion system with cross-diffusion describing the COVID-19 outbreak is studied using the Lie symmetry method. A complete Lie symmetry classification is derived and it is shown that the system with correctly-specified…
The covariant form of the multivariable diffusion-drift process is described by the covariant Fokker--Planck equation using the standard toolbox of Riemann geometry. The covariant form of the equivalent Langevin stochastic differential…
We investigate coupled stochastic differential equations governing N non-negative continuous random variables that satisfy a conservation principle. In various fields a conservation law requires that a set of fluctuating variables be…
This paper improves a previously established test involving only coefficients to decide a priori whether or not non-trivial symmetries of a large class of space-time dependent diffusion processes on the real line exist. When the existence…
For a stochastic process $(X_t)_{t\geq 0}$ we establish conditions under which the inverse first-passage time problem has a solution for any random variable $\xi >0$. For Markov processes we give additional conditions under which the…
Many processes in chemistry, physics, and biology depend on thermally activated events in which the system changes its state by surmounting an activation barrier. Examples range from chemical reactions, protein folding, and nucleation…
The system under study is a reaction-diffusion equation in a horizontal strip, coupled to a diffusion equation on its upper boundary via an exchange condition of the Robin type. This class of models was introduced by H. Berestycki, L. Rossi…
The unified description of diffusion processes that cross over from a ballistic behavior at short times to normal or anomalous diffusion (sub- or superdiffusion) at longer times is constructed on the basis of a non-Markovian generalization…
In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We…
Symmetry is fundamental to understanding physical systems and can improve performance and sample efficiency in machine learning. Both pursuits require knowledge of the underlying symmetries in data, yet discovering these symmetries…
This work contributes to an understanding of the domain size's effect on the existence and uniqueness of the linear convection--diffusion equation with integral-type boundary conditions, where boundary conditions depend non-locally on…
The fractional Fokker-Planck equation, which contains a variable diffusion coefficient, is discussed and solved. It corresponds to the L\'evy flights in a nonhomogeneous medium. For the case with the linear drift, the solution is stationary…