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The work relates to a new way for analysis of one-dimensional stochastic systems, based on consideration of its higher order difference structure. From this point of view, the deterministic and random processes are analyzed. A new numerical…
We consider a neural network with adapting synapses whose dynamics can be analitically computed. The model is made of $N$ neurons and each of them is connected to $K$ input neurons chosen at random in the network. The synapses are…
The Fokker-Planck equations for stochastic dynamical systems, with non-Gaussian $\alpha-$stable symmetric L\'evy motions, have a nonlocal or fractional Laplacian term. This nonlocality is the manifestation of the effect of non-Gaussian…
In this paper, we study the numerical schemes for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion. The main challenges of the numerical schemes come from the…
Exponential time differencing methods is a power tool for high-performance numerical simulation of computationally challenging problems in condensed matter physics, fluid dynamics, chemical and biological physics, where mathematical models…
The existence and characterisation of noise-driven bifurcations from the spatially homogeneous stationary states of a nonlinear, non-local Fokker--Planck type partial differential equation describing stochastic neural fields is established.…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical and empirical reasons to consider similar equations driven by…
We consider an evolving network of a fixed number of nodes. The allocation of edges is a dynamical stochastic process inspired by biological reproduction dynamics, namely by deleting and duplicating existing nodes and their edges. The…
In order to understand the impact of random influences at physical boundary on the evolution of multiscale systems, a stochastic partial differential equation model under a fast random dynamical boundary condition is investigated. The…
One of the open problems in scientific computing is the long-time integration of nonlinear stochastic partial differential equations (SPDEs). We address this problem by taking advantage of recent advances in scientific machine learning and…
Many real world stochastic control problems suffer from the "curse of dimensionality". To overcome this difficulty, we develop a deep learning approach that directly solves high-dimensional stochastic control problems based on Monte-Carlo…
A machine learning technique is proposed for quantifying uncertainty in power system dynamics with spatiotemporally correlated stochastic forcing. We learn one-dimensional linear partial differential equations for the probability density…
Solving high-dimensional Fokker-Planck (FP) equations is a challenge in computational physics and stochastic dynamics, due to the curse of dimensionality (CoD) and unbounded domains. Existing deep learning approaches, such as…
This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…
In this paper we present nonparametric estimators for coefficients in stochastic differential equation if the data are described by independent, identically distributed random variables. The problem is formulated as a nonlinear ill-posed…
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This establishes a Feynman-Kac duality between expected exit…
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling problem. Specifically, we focus on path functionals that have the form of cumulate generating…
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…
Developing fast surrogates for Partial Differential Equations (PDEs) will accelerate design and optimization in almost all scientific and engineering applications. Neural networks have been receiving ever-increasing attention and…
Complex behaviour in many systems arises from the stochastic interactions of spatially distributed particles or agents. Stochastic reaction-diffusion processes are widely used to model such behaviour in disciplines ranging from biology to…