Related papers: A probabilistic interpretation of a non-conservati…
In this paper, we discuss and compare two probabilistic approaches for associating a stochastic differential equation with a McKean-type partial differential equation featuring a reaction term and path-dependent coefficients. The…
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…
We derive a stochastic partial differential equation that describes the fluctuating behaviour of reaction-diffusion systems of N particles, undergoing Markovian, unary reactions. This generalises the work of Dean [J. Phys. A: Math. and…
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation of McKean-Vlasov type. It has both (i) a local chain…
In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model…
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinear Partial Differential equations (PDEs). We propose an…
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law under…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
We study the well-posedness of a nonlinear reaction diffusion partial differential equation system on the half-line coupled with a stochastic dynamical boundary condition, a random system arising from the description of the chemical…
We derive the exact evolution equation for the probability density function of particle displacements generated by arbitrary Gaussian velocity processes, when neither Markovianity and nor stationarity are assumed. Starting from the…
The article presents a novel variational calculus to analyze the stability and the propagation of chaos properties of nonlinear and interacting diffusions. This differential methodology combines gradient flow estimates with backward…
We develop a general theory dealing with stochastic models for dynamical systems that are governed by various nonlinear, ordinary or partial differential, equations. In particular, we address the problem how flows in the random medium…
We study a nonlocal adhesion model for two interacting tumor cell phenotypes, combining diffusion, pairwise interactions, and random phenotypic switching. The system admits a microscopic diffusion--jump particle description whose mean-field…
We propose a reaction-transport model for CTRW with non-linear reactions and non-exponential waiting time distributions. We derive non-linear evolution equation for mesoscopic density of particles. We apply this equation to the problem of…
In this paper we prove the well-posedness of non-autonomous deterministic and stochastic reaction-diffusion equations with a polynomial reaction term. Concerning the stochastic problem, we also prove a new result on the space-time…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
We consider a nonlinear stochastic differential equation driven by an $\alpha$-stable L\'{e}vy process ($1<\alpha<2$). We first obtain some regularity results for the probability density of its invariant measure via establishing the a…
We study diffusion-controlled processes in nonequilibrium steady states, where standard rate theory assumptions break down. Using transition path theory, we generalize the relations between reactive probability fluxes and measures of the…
Diffusion is a fundamental physical phenomenon with critical applications in fields such as metallurgy, cell biology, and population dynamics. While standard diffusion is well-understood, anomalous diffusion often requires complex non-local…
Many approaches to modelling reaction-diffusion systems with anomalous transport rely on deterministic equations and ignore fluctuations arising due to finite particle numbers. Starting from an individual-based model we use a…