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We develop a classical well-posedness and regularity theory on a finite connected weighted graph for an extended mean field game system, its associated master equation, and a Hamilton-Jacobi- Bellman equation on the probability simplex, all…
General self-consistent expressions for the coefficients of diffusion and dynamical friction in a stable, bound, multicomponent self-gravitating and inhomogeneous system are derived. They account for the detailed dynamics of the colliding…
We develop a recursive method for perturbative solutions of the Fokker-Planck equation with nonlinear drift. The series expansion of the time-dependent probability density in terms of powers of the coupling constant is obtained by solving a…
Diffusion theory establishes a fundamental connection between stochastic differential equations and partial differential equations. The solution of a partial differential equation known as the Fokker-Planck equation describes the…
This paper introduces the Generalized Space-Time Fractional Skellam Process (GSTFSP) and the Generalized Space Fractional Skellam Process (GSFSP). We investigate their distributional properties including the probability generating function…
Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…
A Gaussian operator representation for the many body density matrix of fermionic systems, developed by Corney and Drummond [Phys. Rev. Lett, v93, 260401 (2004)], is used to derive approximate decoupling schemes for their dynamics. In this…
We study the semiclassical Ehrenfest trajectories in open quantum systems. We first derive in explicit form the Fokker-Planck equation that governs the time evolution of the mixing measure for a Gaussian mixture. Then, we embed the…
Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…
In this work, we propose a novel methodology for robustly estimating particle size distributions from optical scattering measurements using constrained Gaussian process regression. The estimation of particle size distributions is commonly…
Stochastic spectral methods are efficient techniques for uncertainty quantification. Recently they have shown excellent performance in the statistical analysis of integrated circuits. In stochastic spectral methods, one needs to determine a…
Systems composed of interacting self-propelled particles (SPPs) display different forms of order-disorder phase transitions relevant to collective motion. In this paper we propose a generalization of the Vicsek model characterized by an…
We develop a spectrally accurate numerical method to compute solutions of a model partial differential equation used in plasma physics to describe diffusion in velocity space due to Fokker-Planck collisions. The solution is represented as a…
We present a new strategy to approximate the global solution of the Fokker-Planck equation efficiently in higher dimensions and show its convergence. The main ingredients are the Euler scheme to solve the associated stochastic differential…
We develop a stable and efficient numerical scheme for modeling the optical field evolution in a nonlinear dispersive cavity with counter propagating waves and complex, semiconductor physics gain dynamics that are expensive to evaluate. Our…
In this letter, we present a novel Gaussian Process Learning-based Probabilistic Optimal Power Flow (GP-POPF) for solving POPF under renewable and load uncertainties of arbitrary distribution. The proposed method relies on a non-parametric…
We study the convergence analysis for general degenerate and non-reversible stochastic differential equations (SDEs). We apply the Lyapunov method to analyze the Fokker-Planck equation, in which the Lyapunov functional is chosen as a…
This paper considers a stochastically perturbed Keller-Segel-Navier-Stokes (KS-SNS) system arising from the biomathematics in two dimensions, where the diffusion of fluid is expressed by a fractional Laplacian with an exponent in $[1/2,1]$.…
In this paper, we investigate the existence of solution for systems of Fokker-Planck equations coupled through a common nonlinear congestion. Two different kinds of congestion are considered: a porous media congestion or \textit{soft}…
In this paper we study the dynamics of a fast-slow Fokker-Planck partial differential equation (PDE) viewed as the evolution equation for the density of a multiscale planar stochastic differential equation (SDE). Our key focus is on the…