Related papers: Deterministic Fokker-Planck Transport -- With Appl…
The Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and are thus widely used to quantify random phenomena such as uncertainty propagation. For dynamical systems driven by non-Gaussian…
This paper provides a formulation of the log-homotopy particle flow from the perspective of variational inference. We show that the transient density used to derive the particle flow follows a time-scaled trajectory of the Fisher-Rao…
The FENE dumbbell model consists of the incompressible Navier-Stokes equation and the Fokker-Planck equation for the polymer distribution. In such a model, the polymer elongation cannot exceed a limit $\sqrt{b}$, yielding all interesting…
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the…
We study the long-time dynamics of two-dimensional linear Fokker-Planck equations driven by a drift that can be decomposed in the sum of a large shear component and the gradient of a regular potential depending on one spatial variable. The…
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…
This article details a novel numerical scheme to approximate gradient flows for optimal transport (i.e. Wasserstein) metrics. These flows have proved useful to tackle theoretically and numerically non-linear diffusion equations that model…
This is an expository paper on the theory of gradient flows, and in particular of those PDEs which can be interpreted as gradient flows for the Wasserstein metric on the space of probability measures (a distance induced by optimal…
Starting from interaction rules based on two levels of stochasticity we study the influence of the microscopic dynamics on the macroscopic properties of vehicular flow. In particular, we study the qualitative structure of the resulting…
We present a new strategy to approximate the global solution of the Fokker-Planck equation efficiently in higher dimensions and show its convergence. The main ingredients are the Euler scheme to solve the associated stochastic differential…
The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…
Bayesian inference can be embedded into an appropriately defined dynamics in the space of probability measures. In this paper, we take Brownian motion and its associated Fokker--Planck equation as a starting point for such embeddings and…
Numerical techniques for discretization of velocity space in continuum kinetic calculations are described. An efficient spectral collocation method is developed for the speed coordinate - the radius in velocity space - employing a novel set…
This is the final version of the author's diploma thesis written at the Humboldt University of Berlin in 1995. The topic is the flow of granular material in narrow vertical pipes, driven by the gravity, that is described by Langevin…
In this paper, we propose and analyze a second order accurate (in both time and space) numerical scheme for the Poisson-Nernst-Planck-Navier-Stokes system, which describes the ion electro-diffusion in fluids. In particular, the…
We use the distances introduced in a previous joint paper to exhibit the gradient flow structure of some drift-diffusion equations for a wide class of entropy functionals. Functional inequalities obtained by the comparison of the entropy…
We study the gradient flow structure and long-time behavior of Fokker-Planck equations (FPE) on infinite graphs, along with a Talagrand-type inequality in this setting. We begin by constructing an infinite-dimensional Hilbert manifold…
Fokker-Planck equations (forward Kolmogorov equations) evolve probability densities in time from an initial condition. For distributions over the real line, these evolution equations can sometimes be transformed into dynamics over the…
We study self-regulating processes modeling biological transportation networks. Firstly, we write the formal $L^2$-gradient flow for the symmetric tensor valued diffusivity $D$ of a broad class of entropy dissipations associated with a…
We consider the FENE dumbbell polymer model which is the coupling of the incompressible Navier-Stokes equations with the corresponding Fokker-Planck-Smoluchowski di ffusion equation. We show global well-posedness in the case of a 2D bounded…