Related papers: A small-time approximation of Girsanov's exponenti…
In this paper we investigate the porous medium equation with a fractional temporal derivative. We justify that the resulting equation emerges when we consider the waiting-time (or trapping) phenomenon that can happen in the medium. Our…
This article presents a finite element scheme with Newton's method for solving the time-fractional nonlinear diffusion equation. For time discretization, we use the fractional Crank-Nicolson scheme based on backward Euler convolution…
In the present paper we consider the semiclassical magnetic Schr\"odinger equation, which describes the dynamics of charged particles under the influence of a electro-magnetic field. The solution of the time-dependent Schr\"odinger equation…
We study Gaussian approximations to the distribution of a diffusion. The approximations are easy to compute: they are defined by two simple ordinary differential equations for the mean and the covariance. Time correlations can also be…
Gradient optimization algorithms using epochs, that is those based on stochastic gradient descent without replacement (SGDo), are predominantly used to train machine learning models in practice. However, the mathematical theory of SGDo and…
Starting from first principle many-body quantum dynamics, we show that the dynamics of Bose-Einstein condensates can be approximated by the time-dependent nonlinear Gross-Pitaevskii equation, giving a bound on the rate of the convergence.…
We introduce a new method for analyzing midpoint discretizations of stochastic differential equations (SDEs), which are frequently used in Markov chain Monte Carlo (MCMC) methods for sampling from a target measure $\pi \propto \exp(-V)$.…
We devise a space-time tensor method for the low-rank approximation of linear parabolic evolution equations. The proposed method is a stable Galerkin method, uniformly in the discretization parameters, based on a Minimal Residual…
We analyze here different forms of fractional relaxation equations of order {\nu}\in(0,1) and we derive their solutions both in analytical and in probabilistic forms. In particular we show that these solutions can be expressed as crossing…
We prove a central limit theorem for the momentum distribution of a particle undergoing an unbiased spatially periodic random forcing at exponentially distributed times without friction. The start is a linear Boltzmann equation for the…
Owing to the Rosenau argument in Physical Review A, 46 (1992), pag. 12-15, originally proposed to obtain a regularized version of the Chapman-Enskog expansion of hydrodynamics, we introduce a non-local linear kinetic equation which…
We provide a Lyapunov convergence analysis for time-inhomogeneous variable coefficient stochastic differential equations (SDEs). Three typical examples include overdamped, irreversible drift, and underdamped Langevin dynamics. We first…
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential…
This paper analyzes a time-stepping discontinuous Galerkin method for fractional diffusion-wave problems. This method uses piecewise constant functions in the temporal discretization and continuous piecewise linear functions in the spatial…
Constraints are found on the spatial variation of finite-time Lyapunov exponents of two and three-dimensional systems of ordinary differential equations. In a chaotic system, finite-time Lyapunov exponents describe the average rate of…
A small time equivalent of the density is obtained for the circular analogue of the Langevin diffusion, which is strictly hypoelliptic (and non-Gaussian), hence of a different nature as the known sub-Riemannian case. The singular case,…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
In this paper, we consider a Stochastic Delay Differential Equation with constant delay $r>0$ and, under the same conditions on the coefficients needed to ensure the smoothness of the density plus an ellipticity condition on the diffusion…
We present a comprehensive discretization scheme for linear and nonlinear stochastic differential equations (SDEs) driven by either Brownian motions or $\alpha$-stable processes. Our approach utilizes compound Poisson particle…
The concept of the Wigner function is used to construct a semi-classical kinetic theory describing the evolution of the axial-current phase-space density of spin-1/2 particles in the relaxation time approximation. The resulting approach can…