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In this work, we present a theoretical and computational framework for constructing stochastic transport maps between probability distributions using diffusion processes. We begin by proving that the time-marginal distribution of the sum of…
In the analysis of Markov chains and processes, it is sometimes convenient to replace an unbounded state space with a "truncated" bounded state space. When such a replacement is made, one often wants to know whether the equilibrium behavior…
This paper introduces the use of statistical distributions based on transport differential equations for clear distinction of transport modes within transient kinetic experiments. More specifically,novel techniques are developed for the…
In this paper, we present splitting methods that are based on iterative schemes and applied to plasma simulations. The motivation arose of solving the Coulomb collisions, which are modeled by nonlinear stochastic differential equations. We…
This paper models the classical diffusion of a main particle through a heatbath by means of a pre-limit microscopic representation of its drifted momentum and energy transfers at collision times. The collision point linear interpolated path…
This paper is concerned with classes of models of stochastic reaction dynamics with time-scales separation. We demonstrate that the existence of the time-scale separation naturally leads to the application of the averaging principle and…
A {\em propagation-dispersion equation} is derived for the first passage distribution function of a particle moving on a substrate with time delays. The equation is obtained as the continuous limit of the {\em first visit equation}, an…
We propose a novel stochastic method to generate paths conditioned to start in an initial state and end in a given final state during a certain time $t_{f}$. These paths are weighted with a probability given by the overdamped Langevin…
Stochastic thermodynamics is the field of study relating fluctuations in stochastic systems to thermodynamic quantities. The total entropy production (EP), is central to the thermodynamic classification of systems. Non-equilibrium systems…
In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external…
This paper introduces a new algorithm for numerically computing equilibrium (i.e. stationary) distributions for Markov chains and Markov jump processes with either a very large finite state space or a countably infinite state space. The…
We derive the exact formula for thermal-equilibrium spacing distribution of one-dimensional particle gas with repulsive potential V(r)=r^(-a) (a>0) depending on the distance r between the neighboring particles. The calculated distribution…
A new coupling argument is introduced to establish Driver's integration by parts formula and shift Harnack inequality. Unlike known coupling methods where two marginal processes with different starting points are constructed to move…
We consider the following stochastic space-time fractional diffusion equation with vanishing initial condition:$$ \partial^{\beta} u(t, x)=- \left(-\Delta\right)^{\alpha / 2} u(t, x)+ I_{0+}^{\gamma}\left[\dot{W}(t, x)\right],\quad…
Fractional calculus allows one to generalize the linear, one-dimensional, diffusion equation by replacing either the first time derivative or the second space derivative by a derivative of fractional order. The fundamental solutions of…
For a given Lagrangian $L:[0,T]\times M\times M^\ast\rightarrow \mathbb{R}_+$ and probability measures $\mu\in\mathcal{P}(M^\ast)$, $\nu\in \mathcal{P}(M)$, we introduce the stochastic ballistic transportation problems…
We consider Lie and Strang splitting for the time integration of constrained partial differential equations with a nonlinear reaction term. Since such systems are known to be sensitive with respect to perturbations, the splitting procedure…
Previous proposals to permit non-exponential free-path statistics in radiative transfer have not included support for volume and boundary sources that are spatially uncorrelated from the scattering events in the medium. Birth-collision free…
We provide a probabilistic analysis of the upwind scheme for multi-dimensional transport equations. We associate a Markov chain with the numerical scheme and then obtain a backward representation formula of Kolmogorov type for the numerical…
Spatially distributed problems are often approximately modelled in terms of partial differential equations (PDEs) for appropriate coarse-grained quantities (e.g. concentrations). The derivation of accurate such PDEs starting from finer…