Related papers: Using Malliavin calculus to solve a chemical diffu…
We consider various modeling levels for spatially homogeneous chemical reaction systems, namely the chemical master equation, the chemical Langevin dynamics, and the reaction-rate equation. Throughout we restrict our study to the case where…
Microscopic theory of Brownian motion of a particle of mass $M$ in a bath of molecules of mass $m\ll M$ is considered beyond lowest order in the mass ratio $m/M$. The corresponding Langevin equation contains nonlinear corrections to the…
An incremental evolution equation, i.e. a Master equation in statistical mechanics, is introduced for force distributions in polydisperse frictional particle packings. As basic ingredients of the Master equation, the conditional probability…
In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be given by a forward diffusion equation. The randomness of the…
We study the Langevin dynamics of a physical system with manifold structure $\mathcal{M}\subset\mathbb{R}^p$ based on collected sample points $\{\mathsf{x}_i\}_{i=1}^n \subset \mathcal{M}$ that probe the unknown manifold $\mathcal{M}$.…
We consider numerical methods for linear parabolic equations in one spatial dimension having piecewise constant diffusion coefficients defined by a one parameter family of interface conditions at the discontinuity. We construct immersed…
We propose a systematic method to derive the asymptotic behaviour of the persistence distribution, for a large class of stochastic processes described by a general Fokker-Planck equation in one dimension. Theoretical predictions are…
A new method that enables easy and convenient discretization of partial differential equations with derivatives of arbitrary real order (so-called fractional derivatives) and delays is presented and illustrated on numerical solution of…
Given a random variable $F$ regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and almost any continuous probability law on the real line. The bounds are given in terms of the…
We present a space-time continuous-Galerkin finite element method for solving incompressible Navier-Stokes equations. To ensure stability of the discrete variational problem, we apply ideas from the variational multi-scale method. The…
We introduce a novel spatio-temporal discretization for nonlinear Fokker-Planck equations on the multi-dimensional unit cube. This discretization is based on two structural properties of these equations: the first is the representation as a…
The master equation describing non-equilibrium one-dimensional problems like diffusion limited reactions can be written as a euclideen Schr\"odinger equation in which the wave function is the probability distribution and the Hamiltonian is…
We consider a class of time-homogeneous diffusion processes on $\mathbb{R}^{n}$ with common invariant measure but varying volatility matrices. In Euclidean space, we show via stochastic control of the diffusion coefficient that the…
We consider one-dimensional diffusions, with polynomial drift and diffusion coefficients, so that in particular the motion can be space-inhomogeneous, interacting via one-sided reflections. The prototypical example is the well-known model…
The aim of this article is to construct solutions to second order in time stochastic partial differential equations and to show hypocoercivity of the corresponding transition semigroups. More generally, we analyze non-linear…
We propose a new mechanism for generating power laws. Starting from a random walk, we first outline a simple derivation of the Fokker-Planck equation. By analogy, starting from a certain Markov chain, we derive a master equation for power…
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…
In Bhattacharya et al. (Science Advances, 2020), a set of chemical reactions involved in the dynamics of actin waves in cells was studied. Both at the microscopic level, where the individual chemical reactions are directly modelled using…
The complex Langevin method aims at performing path integral with a complex action numerically based on complexification of the original real dynamical variables. One of the poorly understood issues concerns occasional failure in the…
A large class of physically important nonlinear and nonhomogeneous evolution problems, characterized by advection-like and diffusion-like processes, can be usefully studied by a time-differential form of Kolmogorov's solution of the…