Related papers: Using Malliavin calculus to solve a chemical diffu…
The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N coupled stochastic variables with the Dirichlet distribution as its asymptotic solution. To ensure a bounded…
We present a new, for plasma physics, highly efficient multilevel Monte Carlo numerical method for simulating Coulomb collisions. The method separates and optimally minimizes the finite-timestep and finite-sampling errors inherent in the…
We have developed a deterministic conservative solver for the inhomogeneous Fokker-Planck-Landau equation coupled with the Poisson equation, which is a {classical mean-field} primary model for collisional plasmas. Two subproblems, i.e. the…
This article is in continuation of our earlier article [37] in which computational solution of an unified reaction-diffusion equation of distributed order associated with Caputo derivatives as the time-derivative and Riesz-Feller derivative…
The precision of reaction-diffusion models for mesoscopic physical systems is limited by fluctuations. To account for this uncertainty, Van Kampen derived a stochastic Langevin-like reaction-diffusion equation that incorporates…
We propose a stochastic branching particle-based method for solving nonlinear non-conservative advection-diffusion-reaction equations. The method splits the evolution into an advection-diffusion step, based on a linearized Kolmogorov…
A nontrivial technical issue has long plagued the literature on stochastic path integrals: it is not clear which definition is correct in the case of multiplicative/state-dependent noise. One reason for this is the unavailability of exactly…
In this paper, we study numerical methods for the homogenization of linear second-order elliptic equations in nondivergence-form with periodic diffusion coefficients and large drift terms. Upon noting that the effective diffusion matrix can…
The evolution of a continuous time Markov process with a finite number of states is usually calculated by the Master equation - a linear differential equations with a singular generator matrix. We derive a general method for reducing 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,…
This paper is a further extension of the method proposed in Itkin, 2014 as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a…
A Langevin equation with a special type of additive random source is considered. This random force presents a fractional order derivative of white noise, and leads to a power-law time behavior of the mean square displacement of a particle,…
We propose an approach to directly estimate the moments or marginals for a high-dimensional equilibrium distribution in statistical mechanics, via solving the high-dimensional Fokker-Planck equation in terms of low-order cluster moments or…
In this PhD thesis, we apply a combination of Malliavin calculus and Stein's method in the framework of probability approximations. The specific problems we tackle with these methods are motivated by probabilistic models in cosmology (Part…
We are interested in the numerical solution of nonsymmetric linear systems arising from the discretization of convection-diffusion partial differential equations with separable coefficients and dominant convection. Preconditioners based on…
The stochastic differential equations for a model of dissipative particle dynamics with both total energy and total momentum conservation in the particle-particle interactions are presented. The corresponding Fokker-Planck equation for the…
We develop finite element methods for coupling the steady-state Onsager--Stefan--Maxwell equations to compressible Stokes flow. These equations describe multicomponent flow at low Reynolds number, where a mixture of different chemical…
In this paper, we describe an explicit extension formula in sensitivity analysis regarding the Malliavin weight for jump-diffusion mean-field stochastic differential equations whose local Lipschitz drift coefficients are influenced by the…
The covariant form of the multivariable diffusion-drift process is described by the covariant Fokker--Planck equation using the standard toolbox of Riemann geometry. The covariant form of the equivalent Langevin stochastic differential…
This paper develops and analyzes an efficient numerical method for solving elliptic partial differential equations, where the diffusion coefficients are random perturbations of deterministic diffusion coefficients. The method is based upon…