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A non-linear differential equation arising from a stochastic process known as branching Brownian motion is considered. We find an explicit solution and show the uniqueness of the solution under some boundedness conditions using…
We generalize the method of obtaining the fundamental linear partial differential equations such as the diffusion and Schrodinger equation, Dirac and telegrapher's equation from a simple stochastic consideration to arrive at certain…
We derive a fluctuating lattice Boltzmann method for the diffusion equation. The derivation removes several shortcomings of previous derivations for fluctuating lattice Boltzmann methods for hydrodynamic systems. The comparative simplicity…
The method, proposed in the given work, allows the application of well developed standard methods used in quantum mechanics for approximate solution of the systems of ordinary linear differential equations with periodical coefficients.
In this paper, we consider the Dirichlet problem associated to an elliptic Kirchhoff-type equation depending on two parameters. Under rather general and natural assumptions, we prove that, for certain values of the parameters, the problem…
A comprehensive convergence and stability analysis of some probabilistic numerical methods designed to solve Cauchy-type inverse problems is performed in this study. Such inverse problems aim at solving an elliptic partial differential…
We propose a numerical method for convection-diffusion problems under low regularity assumptions. We derive the method and analyze it using the primal-dual weak Galerkin (PDWG) finite element framework. The Euler-Lagrange formulation…
A physical-mathematical approach to anomalous diffusion may be based on fractional diffusion equations and related random walk models. The fundamental solutions of these equations can be interpreted as probability densities evolving in time…
The purpose of this tutorial is to introduce the main concepts behind normal and anomalous diffusion. Starting from simple, but well known experiments, a series of mathematical modeling tools are introduced, and the relation between them is…
A system of interacting Brownian particles subject to short-range repulsive potentials is considered. A continuum description in the form of a nonlinear diffusion equation is derived systematically in the dilute limit using the method of…
Several classic problems for particles diffusing outside an arbitrary configuration of non-overlapping partially reactive spherical traps in three dimensions are revisited. For this purpose, we describe the generalized method of separation…
A probabilistic method for solving time-dependent load-transfer models of fracture is developed. It is applicable to any rule of load redistribution, i.e, local, hierarchical, etc. In the new method, the fluctuations are generated during…
It is shown that if the initial condition of the Cauchy problem for the diffusion equation on a general infinite countable ultrametric space is spherically symmetric with respect to some point, then this problem has an exact analytical…
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…
A multiscale numerical method is proposed for the solution of semi-linear elliptic stochastic partial differential equations with localized uncertainties and non-linearities, the uncertainties being modeled by a set of random parameters. It…
We study some non-parabolic diffusion problems in one-space dimension, where the diffusion flux exhibits forward and backward nature of the Perona-Malik, H\"ollig or non-Fourier type. Classical weak solutions to such problems are…
We present a path integral formulation of Darcy's equation in one dimension with random permeability described by a correlated multi-variate lognormal distribution. This path integral is evaluated with the Markov chain Monte Carlo method to…
A model for diffusion on a cubic lattice with a random distribution of traps is developed. The traps are redistributed at certain time intervals. Such models are useful for describing systems showing dynamic disorder, such as ion-conducting…
The Onsager--Machlup action functional is an important concept in statistical mechanics and thermodynamics to describe the probability of fluctuations in nonequilibrium systems. It provides a powerful tool for analyzing and predicting the…
In this article we propose a generalization of the theory of diffusion approximation for random ODE to a nonlinear system of random Schr\"{o}dinger equations. This system arises in the study of pulse propagation in randomly birefringent…