Related papers: The diffusion equation for non-Markovian Gaussian …
The nonrelativistic standard model for a continuous, one-parameter diffusion process in position space is the Wiener process. As well-known, the Gaussian transition probability density function (PDF) of this process is in conflict with…
It is long known that the Fokker-Planck equation with prescribed constant coefficients of diffusion and linear friction describes the ensemble average of the stochastic evolutions in velocity space of a Brownian test particle immersed in a…
In this paper, the first microscopic approach to the Brownian motion is developed in the case where the mass density of the suspending bath is of the same order of magnitude as that of the Brownian (B) particle. Starting from an extended…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…
Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term…
We generalize Einstein's probabilistic method for the Brownian motion to study compressible fluids in porous media. The multi-dimensional case is considered with general probability distribution functions. By relating the expected…
Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and play an important role in quantifying propagation and evolution of uncertainty. Although Fokker-Planck equations can be written…
Unbalanced probability circulation, which yields cyclic motions in phase space, is the defining characteristics of a stationary diffusion process without detailed balance. In over-damped soft matter systems, such behavior is a hallmark of…
In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…
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…
We obtain a general solution for the probability density function of wave intensities in non-stationary Wave Turbulence. The solution is expressed in terms of the wave action spectrum evolving according the the wave-kinetic equation. We…
The nonequilibrium Fokker-Planck dynamics with a non-conservative drift field, in dimension $N\geq 2$, can be related with the non-Hermitian quantum mechanics in a real scalar potential $V$ and in a purely imaginary vector potential -$iA$…
While accurate simulations of dense gas flows far from the equilibrium can be achieved by Direct Simulation adapted to the Enskog equation, the significant computational demand required for collisions appears as a major constraint. In order…
In this paper, we study the long-time behaviour of solutions to the Vlasov-Fokker-Planck equation where the confining potential is non-convex. This is a nonlocal nonlinear partial differential equation describing the time evolution of the…
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…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
Starting from a general classical model of many interacting particles we present a well defined step by step procedure to derive the continuum-mechanics equations of nonlinear elasticity theory with fluctuations which describe the…
We consider a continuous random walk model for describing normal as well as anomalous diffusion of particles subjected to an external force when these particles diffuse in a uniformly expanding (or contracting) medium. A general equation…
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…
An evolution equation for multiphoton states propagating through turbulence is derived without making a Markovian approximation. The state is represented as a Wigner functional to incorporate all spatiotemporal degrees of freedom. The…