Related papers: Using Malliavin calculus to solve a chemical diffu…
We study the adapted solution, numerical methods, and related convergence analysis for a unified backward stochastic partial differential equation (B-SPDE). The equation is vector-valued, whose drift and diffusion coefficients may involve…
One obtains a probabilistic representation for the entropic generalized solutions to a nonlinear Fokker-Planck equation in $\mathbb R^d$ with multivalued nonlinear diffusion term as density probabilities of solutions to a nonlinear…
We consider the initial/boundary value problem for a diffusion equation involving multiple time-fractional derivatives on a bounded convex polyhedral domain. We analyze a space semidiscrete scheme based on the standard Galerkin finite…
The stochastic systems without detailed balance are common in various chemical reaction systems, such as metabolic network systems. In studies of these systems, the concept of potential landscape is useful. However, what are the sufficient…
We extend to multi-dimensions the work of [1], where new fully explicit kinetic methods were built for the approximation of linear and non-linear convection-diffusion problems. The fundamental principles from the earlier work are retained:…
A method to direct evaluation of expectations for Langevin systems (stochastic differential equations) is proposed. The method is based on a birth-death process which is derived using combinations of dummy variables and It{\^o} formula. As…
We study the evolution of states of an infinite system of point particles dwelling in a locally compact Polish space $X$. Each particle produces at random a finite `cloud' of offsprings distributed over $X$ according to some law, and…
We reformulate a general class of classical bead-spring-chain models for dilute polymeric fluids, with Hookean spring potentials, as McKean-Vlasov diffusion. This results in a coupled system of partial differential equations involving the…
By considering the master equation of the partially asymmetric diffusion process on a one-dimensional lattice, the most general boundary condition (i.e. interactions) for the multi-species reaction-diffusion processes is considered.…
A Langevin equation is suggested to describe a system driven by correlated Gaussian white noise as well as with positive and negative damping demarcated by a critical velocity. The equation can be transformed into the Fokker-Planck equation…
We consider a stochastic model of the two-dimensional chemostat as a diffusion process for the concentration of substrate and the concentration of biomass. The model allows for the washout phenomenon: the disappearance of the biomass inside…
Diffusion processes have been applied with great success to model the dynamics of large populations throughout science, in particular biology. One advantage is that they bridge two different scales: the microscopic and the macroscopic one.…
We adopt a Gamma and Malliavin Calculi point of view in order to generalize Score-based diffusion Generative Models (SGMs) to an infinite-dimensional abstract Hilbertian setting. Particularly, we define the forward noising process using…
The unified description of diffusion processes that cross over from a ballistic behavior at short times to normal or anomalous diffusion (sub- or superdiffusion) at longer times is constructed on the basis of a non-Markovian generalization…
The continued-fraction method to solve classical Fokker--Planck equations has been adapted to tackle quantum master equations of the Caldeira--Leggett type. This can be done taking advantage of the phase-space (Wigner) representation of the…
Given a discrete stochastic process, for example a chemical reaction system or a birth and death process, we often want to find a continuous stochastic approximation so that the techniques of stochastic differential equations may be brought…
We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a…
A relativistic diffusion model with cylindrical symmetry, which propagates an initial state based on quantum chromodynamics in time towards a thermal equilibrium limit, is derived from nonequilibrium-statistical considerations: Adapting an…
In this paper, we propose a drift-diffusion process on the probability simplex to study stochastic fluctuations in probability spaces. We construct a counting process for linear detailed balanced chemical reactions with finite species such…
The problem of the evolution of a heavy quarkonium in a medium can be recast as that of a quantum dissipative system. Within the framework of the master-equation approach to open quantum systems, we consider the real-time dynamics of…