Related papers: A stochastic Trotter integration scheme for dissip…
We study a numerical method to compute probability density functions of solutions of stochastic differential equations. The method is sometimes called the numerical path integration method and has been shown to be fast and accurate in…
In this work, we investigate a theory of stochastic integration for operator-valued processes with respect to semimartingales taking values in the dual of a nuclear space. Our construction of this particular stochastic integral relies on…
We develop a model in two dimensions to characterise the growth rate of a tracer gradient mixed by a statistically homogeneous flow with rapid temporal variations. % % The model is based on the orientation dynamics of the passive-tracer…
This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on the law of the solution. These reflected equations have been introduced recently by…
In a companion paper (Laibe & Price 2011b), we have presented an algorithm for simulating two-fluid gas and dust mixtures in Smoothed Particle Hydrodynamics (SPH). In this paper, we develop an implicit timestepping method that preserves the…
Mathematical models for complex systems are often accompanied with uncertainties. The goal of this paper is to extract a stochastic differential equation governing model with observation on stationary probability distributions. We develop a…
This article explains and illustrates the use of a set of coupled dynamical equations, second order in a fictitious time, which converges to solutions of stationary Schr\"{o}dinger equations with additional constraints. We include three…
Our study focuses on fractional order compartment models derived from underlying physical stochastic processes, providing a more physically grounded approach compared to models that use the dynamical system approach by simply replacing…
In this work we present the explicit calculation of Probability Distribution Function for a model system of granular gas within the framework of Tsallis Non-Extensive Statistical Mechanics, using the stochastic approach by Beck [C. Beck,…
Dissipative particle dynamics is a widely used mesoscale technique for the simulation of hydrodynamics (as well as immersed particles) utilizing coarse-grained molecular dynamics. While the method is capable of describing any fluid, the…
Stochastic simulation methods can be applied successfully to model exact spatio-temporally resolved reaction-diffusion systems. However, in many cases, these methods can quickly become extremely computationally intensive with increasing…
We present a generalization of dissipative particle dynamics that includes shear forces between particles. The new algorithm has the same structure as the (isothermal) smoothed particle dynamics algorithm, except that it conserves angular…
In this paper, we propose a stochastic conformal multi-symplectic method for a class of damped stochastic Hamiltonian partial differential equations in order to inherit the intrinsic properties, and apply the numerical method to solve a…
We propose and study conformal integrators for linearly damped stochastic Poisson systems. We analyse the qualitative and quantitative properties of these numerical integrators: preservation of dynamics of certain Casimir and Hamiltonian…
We present a new path integral method to analyze stochastically perturbed ordinary differential equations with multiple time scales. The objective of this method is to derive from the original system a new stochastic differential equation…
A stochastic deformation of a thermodynamic symplectic structure is studied. The stochastic deformation procedure is analogous to the deformation of an algebra of observables like deformation quantization, but for an imaginary deformation…
In dilute turbulent particle-laden flows, such as atmospheric dispersion of pollutants or virus particles, the dynamics of tracer-like to low inertial particles are significantly altered by the fluctuating motion of the carrier fluid phase.…
We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with respect to Lebesgue measure. In the spirit of Lamperti, Doss…
In this paper we present a model based on dynamics of the electrons in the plasma using a simplified Boltzmann equation coupled with a Poisson equation. The motivation arose to simulate active plasma resonance spectroscopy which is used for…
The purpose of this paper is to examine the Lagrangian stochastic modeling of the fluid velocity seen by inertial particles in a nonhomogeneous turbulent flow. A new Langevin-type model, compatible with the transport equation of the drift…