Related papers: Stochastic Processes and Diffusion Equations
We study stochastic thermodynamics of a Brownian particle which is subjected to a temperature gradient and is confined by an external potential. We first formulate an over-damped Ito-Langevin theory in terms of local temperature, friction…
This thesis is dedicated to the study of stochastic processes; non-deterministic physical phenomena that can be well described by classical physics. The stochastic processes we are interested in are akin to Brownian Motion and can be…
We describe the mathematical theory of diffusion and heat transport with a view to including some of the main directions of recent research. The linear heat equation is the basic mathematical model that has been thoroughly studied in the…
We analytically describe the decay to equilibrium of generic observables of a non-integrable system after a perturbation in the form of a random matrix. We further obtain an analytic form for the time-averaged fluctuations of an observable…
We deal with complex spatial diffusion equations with time-fractional derivative and study their stochastic solutions. In particular, we complexify the integral operator solution to the heat-type equation where the time derivative is…
We study a diffusion approximation for a model of stochastic motion of a particle in one spatial dimension. The velocity of the particle is constant but the direction of the motion undergoes random changes with a Poisson clock. Moreover,…
Computing analytically the $n$-point density correlations in systems of interacting particles is a long-standing problem of statistical physics, with a broad range of applications, from the interpretation of scattering experiments in simple…
The aim of this note is to propose a novel numerical scheme for drift-less one dimensional stochastic differential equations of It\^o's type driven by standard Brownian motion. Our approximation method is equivalent to the well known…
Brownian motion is the perpetual irregular motion exhibited by small particles immersed in a fluid. Such random motion of the particles is produced by statistical fluctuations in the collisions they suffer with the molecules of the…
We investigate the stochastic dynamics of one sedimenting active Brownian particle in three dimensions under the influence of gravity and passive fluctuations in the translational and rotational motion. We present an analytical solution of…
We compute the entropy production engendered in the environment from a single Brownian particle which moves in a mean flow, and show that it corresponds in expectation to classical near-equilibrium entropy production in the surrounding…
We consider n-point sticky Brownian motions: a family of n diffusions that evolve as independent Brownian motions when they are apart, and interact locally so that the set of coincidence times has positive Lebesgue measure with positive…
Statistical invariance of Wiener increments under SO(n) rotations provides a notion of gauge transformation of state-dependent Brownian motion. We show that the stochastic dynamics of non gauge-invariant systems is not unambiguously…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
Stochastic processes play a key role for modeling a huge variety of transport problems out of equilibrium, with manifold applications throughout the natural and social sciences. To formulate models of stochastic dynamics the conventional…
The classical theory of Brownian motion rests on fundamental laws of statistical mechanics, such as the equipartition theorem and the fluctuation-dissipation theorem, which are not applicable in non-isothermal situations. We derive the…
Statistical thermodynamics delivers the probability distribution of the equilibrium state of matter through the constrained maximization of a special functional, entropy. Its elegance and enormous success have led to numerous attempts to…
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 consider stochastic thermodynamics as a theory of statistical inference for experimentally observed fluctuating time-series. To that end, we introduce a general framework for quantifying the knowledge about the dynamical state of the…
We develop a theory of fluctuations for Brownian systems with weak long-range interactions. For these systems, there exists a critical point separating a homogeneous phase from an inhomogeneous phase. Starting from the stochastic…