Related papers: Uncertainty Propagation for General Stochastic Hyb…
In this paper we present a study of anomalous diffusion using a Fokker-Planck description with fractional velocity derivatives. The distribution functions are found using numerical means for varying degree of fractionality observing the…
We demonstrate a method which allows the stochastic modelling of quantum systems for which the generalised Fokker-Planck equation in the phase space contains derivatives of higher than second order. This generalises quantum stochastics far…
The Fokker-Planck (FP) particle method accelerates rarefied-gas simulations by replacing the binary collisions of the commonly used Direct Simulation Monte Carlo (DSMC) method with a drift=diffusion process. Like all particle methods, the…
It is long known that the Fokker-Planck equation with prescribed constant coefficients of diffusion and linear friction describes the ensemble average of the stochastic evolutions in velocity space of a Brownian test particle immersed in a…
The harmonic oscillator with dissipation is studied within the framework of the Lindblad theory for open quantum systems. By using the Wang-Uhlenbeck method, the Fokker-Planck equation, obtained from the master equation for the density…
Simulation of stochastic spatially-extended systems is a challenging problem. The fundamental quantities in these models are individual entities such as molecules, cells, or animals, which move and react in a random manner. In big systems,…
We develop an efficient approach to evaluate range-separated exact exchange for grid or plane-wave based representations within the Generalized Kohn-Sham DFT (GKS-DFT) framework. The Coulomb kernel is fragmented in reciprocal space, and we…
A conservative discrete velocity method (DVM) is developed for the ellipsoidal Fokker-Planck (ES-FP) equation in prediction of non-equilibrium neutral gas flows in this paper. The ES-FP collision operator is solved in discrete velocity…
Presenting a general phase approach to stochastic processes we analyze in particular the Fokker-Planck equation for the noisy Burgers equation and discuss the time dependent and stationary probability distributions. In one dimension we…
We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium…
The onset of collective behavior in a population of globally coupled oscillators with randomly distributed frequencies is studied for phase dynamical models with arbitrary coupling. The population is described by a Fokker-Planck equation…
We unify two paradigmatic mesoscopic mechanisms for the emergence of nonextensive statistics, namely the multiplicative noise mechanism leading to a {\it linear} Fokker-Planck (FP) equation with {\it inhomogenous} diffusion coefficient, and…
We present the newly developed stochastic model of the galactic cosmic ray (GCR) particles transport in the heliosphere. Mathematically Parker transport equation (PTE) describing non-stationary transport of charged particles in the…
Simulating a Gaussian process requires sampling from a high-dimensional Gaussian distribution, which scales cubically with the number of sample locations. Spectral methods address this challenge by exploiting the Fourier representation,…
A recently introduced nonlinear Fokker-Planck equation, derived directly from a master equation, comes out as a very general tool to describe phenomenologically systems presenting complex behavior, like anomalous diffusion, in the presence…
We characterize a stochastic dynamical system with tempered stable noise, by examining its probability density evolution. This probability density function satisfies a nonlocal Fokker-Planck equation. First, we prove a superposition…
The spatially homogeneous Vlasov-Nordstr\"{o}m-Fokker-Planck system is known to exhibit nontrivial large time behavior, naturally leading to weak diffusion of the Fokker-Planck operator. This weak diffusion, combined with the singularity of…
This paper proposes a new method to propagate uncertainties undergoing nonlinear dynamics using the Koopman Operator (KO). Probability density functions are propagated directly using the Koopman approximation of the solution flow of the…
This work is concerned with solving high-dimensional Fokker-Planck equations with the novel perspective that solving the PDE can be reduced to independent instances of density estimation tasks based on the trajectories sampled from its…
Sampling from nonsmooth target probability distributions is essential in various applications, including the Bayesian Lasso. We propose a splitting-based sampling algorithm for the time-implicit discretization of the probability flow for…