Related papers: Simulating Fokker-Planck equations via mean field …
We present a new time-dependent Density Functional approach to study the relaxational dynamics of an assembly of interacting particles subject to thermal noise. Starting from the Langevin stochastic equations of motion for the velocities of…
We propose a new approach to describe the effective microscopic dynamics of (power-law) nonlinear Fokker-Planck equations. Our formalism is based on a nonextensive generalization of the Wiener process. This allow us to obtain, in addition…
The Fokker-Planck (FP) equation is a foundational PDE in stochastic processes. However, curse of dimensionality (CoD) poses challenge when dealing with high-dimensional FP PDEs. Although Monte Carlo and vanilla Physics-Informed Neural…
This paper concerns a Mean Field Game (MFG) system related to a Nash type equilibrium for dynamical games associated to large populations. One shows that the MFG system may be viewed as the Euler-Lagrange system for an optimal control…
The sampling of probability distributions specified up to a normalization constant is an important problem in both machine learning and statistical mechanics. While classical stochastic sampling methods such as Markov Chain Monte Carlo…
We consider a Mean Field Games model where the dynamics of the agents is given by a controlled Langevin equation and the cost is quadratic. A change of variables, introduced in [9], transforms the Mean Field Games system into a system of…
In recent years, diffusion models trained on equilibrium molecular distributions have proven effective for sampling biomolecules. Beyond direct sampling, the score of such a model can also be used to derive the forces that act on molecular…
In this paper, we study a combined system of a Fokker-Planck (FP) equation for $m^{t,\mu}$ with initial $(t,\mu)\in[0,T]\times L^2(\mathbb{R}^d)$, and a stochastic differential equation for $X^{t,x,\mu}$ with initial $(t,x)\in[0,T]\times…
The unified description of diffusion processes that cross over from a ballistic behavior at short times to normal or anomalous diffusion (sub- or superdiffusion) at longer times is constructed on the basis of a non-Markovian generalization…
Finite-state mean-field games (MFGs) arise as limits of large interacting particle systems and are governed by an MFG system, a coupled forward-backward differential equation consisting of a forward Kolmogorov-Fokker-Planck (KFP) equation…
We consider Fokker-Planck equations in the whole Euclidean space, driven by Levy processes, under the action of confining drifts, as in the classical Ornstein-Ulhenbeck model. We introduce a new PDE method to get exponential or…
When the complete understanding of a complex system is not available, as, e.g., for systems considered in the real-world, we need a top-down approach to complexity. In this approach one may start with the desire to understand general…
Real ecosystems are characterized by sparse and asymmetric interactions, posing a major challenge to theoretical analysis. We introduce a new method to study the generalized Lotka-Volterra model with stochastic dynamics on sparse graphs. By…
The design of particle simulation methods for collisional plasma physics has always represented a challenge due to the unbounded total collisional cross section, which prevents a natural extension of the classical Direct Simulation Monte…
The aim of this contribution is to study the particle dynamics in a storage ring under the influence of noise. Some simplified stochastic beam dynamics problems are treated by solving the corresponding Fokker-Planck equations numerically.
Computing the invariant probability measure of a randomly perturbed dynamical system usually means solving the stationary Fokker-Planck equation. This paper studies several key properties of a novel data-driven solver for low-dimensional…
This paper investigates the probability distribution of solutions to McKean--Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst parameter H>1/2. Our main contribution is the derivation of the associated…
We propose a method to analyze the dynamics of systems exhibiting slow relaxation which is based on mesoscopic non-equilibrium thermodynamics. The method allows us to obtain kinetic equations of the Fokker-Planck type for the probability…
We investigate the global numerical approximation of a class of extended mean field control problems (MFC), where the dynamics and costs depend on the joint distribution of the state and the control. We propose a framework to approximate…
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…