Related papers: Data-dependent density estimation for the Fokker-P…
We propose a dimensionality reduction method for infinite-dimensional measure-valued evolution equations such as the Fokker-Planck partial differential equation or the Kushner-Stratonovich resp. Duncan-Mortensen-Zakai stochastic partial…
Stochastic dynamical systems provide essential mathematical frameworks for modeling complex real-world phenomena. The Fokker-Planck-Kolmogorov (FPK) equation governs the evolution of probability density functions associated with stochastic…
We consider a stochastic logistic growth model involving both birth and death rates in the drift and diffusion coefficients for which extinction eventually occurs almost surely. The associated complete Fokker-Planck equation describing the…
We propose a numerical solution for the solution of the Fokker-Planck-Kolmogorov (FPK) equations associated with stochastic partial differential equations in Hilbert spaces. The method is based on the spectral decomposition of the…
We propose a data-driven approach for propagating uncertainty in stochastic power grid simulations and apply it to the estimation of transmission line failure probabilities. A reduced-order equation governing the evolution of the observed…
We consider new connections between the problem of trend to equilibrium for the n-dimensional Fokker--Planck equation of statistical physics, and weighted Poincar\'e inequality. To this aim we consider a class of n-dimensional…
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…
The well-posedness of a class of optimal control problems is analysed, where the state equation couples a nonlinear degenerate Fokker-Planck equation with a system of Ordinary Differential Equations (ODEs). Such problems naturally arise as…
We derive the numerical schemes for the strong order integration of the set of the stochastic differential equations (SDEs) corresponding to the non-stationary Parker transport equation (PTE). PTE is 5-dimensional (3 spatial coordinates,…
By replacing the spatial derivative with the Dunkl derivative, we generalize the Fokker-Planck equation in (1+1) dimensions. We obtain the Dunkl-Fokker-Planck eigenvalues equation and solve it for the harmonic oscillator plus a…
The Becker-D\"oring equations are an infinite dimensional system of ordinary differntial equations describing coagulation/fragmentation processes of species of integer sizes. Formal Taylor expansions motivate that its solution should be…
This work is devoted to the study of the Fokker--Planck equation for a stochastic heat equation with an additive $Q$-Wiener noise and non-homogeneous boundary conditions. We explicitly construct the probability density function and…
The estimation of probability densities based on available data is a central task in many statistical applications. Especially in the case of large ensembles with many samples or high-dimensional sample spaces, computationally efficient…
We derive quantitative estimates for large stochastic systems of interacting particles perturbed by both idiosyncratic and environmental noises, as well as singular kernels. We prove that the (mollified) empirical process converges to the…
Fractional Fokker-Planck equation plays an important role in describing anomalous dynamics. To the best of our knowledge, the existing discussions mainly focus on this kind of equation involving one diffusion operator. In this paper, we…
An optimization-based approach for the Tucker tensor approximation of parameter-dependent data tensors and solutions of tensor differential equations with low Tucker rank is presented. The problem of updating the tensor decomposition is…
In the framework of the stochastic theory for hierarchical clustering, we investigate the time-dependent solutions of the Fokker-Planck equation describing the statistics of dark matter halos, and discuss the typical timescales needed for…
This paper is concerned with the Wigner-Poisson-Fokker-Planck system, a kinetic evolution equation for an open quantum system with a non-linear Hartree potential. Existence, uniqueness and regularity of global solutions to the Cauchy…
We propose and analyze a mixed finite element method for the spatial approximation of a time-fractional Fokker--Planck equation in a convex polyhedral domain, where the given driving force is a function of space. Taking into account the…
The Vlasov-Fokker-Planck equation describes the evolution of the probability density of the position and velocity of particles under the influence of external confinement, interaction, friction, and stochastic force. It is well-known that…