Related papers: A stochastic reduced-order model for statistical m…
Integrated Computational Materials Engineering (ICME) aims to accelerate optimal design of complex material systems by integrating material science and design automation. For tractable ICME, it is required that (1) a structural feature…
Stochastic models of chemical systems are often analysed by solving the corresponding Fokker-Planck equation which is a drift-diffusion partial differential equation for the probability distribution function. Efficient numerical solution of…
For stochastic systems with discrete time delay, the Fokker-Planck equation (FPE) of the one-time probability density function (PDF) does not provide a complete, self-contained probabilistic description. It explicitly involves the two-time…
The Fokker-Planck (FP) equation governing the evolution of the probability density function (PDF) is applicable to many disciplines but it requires specification of the coefficients for each case, which can be functions of space-time and…
Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…
Many systems in physics, engineering, and biology exhibit multiscale stochastic dynamics, where low-dimensional slow variables evolve under the influence of high-dimensional fast processes. In practice, observations are often limited to a…
Uncertainty quantification (UQ) plays a major role in verification and validation of computational engineering models and simulations, and establishes trust in the predictive capability of computational models. In the materials science and…
In this study, we propose a new method that is useful for estimating unknown parameter values of stochastic differential equation (SDE) models, based on probability density function (PDF) data measured from random dynamical systems. As our…
This paper shows in detail the application of a new stochastic approach for the characterization of surface height profiles, which is based on the theory of Markov processes. With this analysis we achieve a characterization of the scale…
Inspired by the modeling of grain growth in polycrystalline materials, we consider a nonlinear Fokker-Plank model, with inhomogeneous diffusion and with variable mobility parameters. We develop large time asymptotic analysis of such…
Classical nonlinear dynamical systems are often characterized by their steady-state probability distribution functions (PDFs). Typically, PDFs are accumulated from numerical simulations that involve solving the underlying dynamical…
We develop a new method to solve the Fokker-Planck or Kolmogorov's forward equation that governs the time evolution of the joint probability density function of a continuous-time stochastic nonlinear system. Numerical solution of this…
The Fokker-Planck equation describes the evolution of the probability density associated with a stochastic differential equation. As the dimension of the system grows, solving this partial differential equation (PDE) using conventional…
Stochastic reduced-order models are widely used to represent the effective dynamics of complex systems, but estimating their drift and diffusion coefficients from data remains challenging. Standard approaches often rely on short-time…
In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient,…
The Fokker-Planck (FP) equation is a linear partial differential equation which governs the temporal and spatial evolution of the probability density function (PDF) associated with the response of stochastic dynamical systems. An exact…
While accurate simulations of dense gas flows far from the equilibrium can be achieved by Direct Simulation adapted to the Enskog equation, the significant computational demand required for collisions appears as a major constraint. In order…
We consider a stochastic logistic growth model involving both birth and death rates in the drift and diffusion coefficients for which extinction eventually occurs almost surely. The associated complete Fokker-Planck equation describing the…
A general-purpose computational homogenization framework is proposed for the nonlinear dynamic analysis of membranes exhibiting complex microscale and/or mesoscale heterogeneity characterized by in-plane periodicity that cannot be…
Stochastic dynamical systems provide essential mathematical frameworks for modeling complex real-world phenomena. The Fokker-Planck-Kolmogorov (FPK) equation governs the evolution of probability density functions associated with stochastic…