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We investigate piecewise-linear stochastic models as with regards to the probability distribution of functionals of the stochastic processes, a question which occurs frequently in large deviation theory. The functionals that we are looking…
Motivated by empirical data, we develop a statistical description of the queue dynamics for large tick assets based on a two-dimensional Fokker-Planck (diffusion) equation, that explicitly includes state dependence, i.e. the fact that the…
Long simulation times in climate sciences typically require coarse grids due to computational constraints. Nonetheless, unresolved subscale information significantly influences the prognostic variables and can not be neglected for reliable…
The asymptotic analysis of a linear high-field Wigner-BGK equation is developped by a modified Chapman-Enskog procedure. By an expansion of the unknown Wigner function in powers of the Knudsen number $\epsilon$, evolution equations are…
The Fokker--Planck Equation can be used in a partially-coherent imaging context to model the evolution of the intensity of a paraxial x-ray wave field with propagation. This forms a natural generalisation of the transport-of-intensity…
We derive the stochastic description of a massless, interacting scalar field in de Sitter space directly from the quantum theory. This is done by showing that the density matrix for the effective theory of the long wavelength fluctuations…
Dynamics of complex systems is often hierarchically organized on different time scales. To understand the physics of such hierarchy, here Brownian motion of a particle moving through a fluctuating medium with slowly varying temperature is…
The stochastic approach aims at describing the long-wavelength part of quantum fields during inflation by a classical stochastic theory. It is usually formulated in terms of Langevin equations, giving rise to a Fokker-Planck equation for…
A diffusion's induced transport is defined for a linear model of a Fokker-Plank equation under periodic boundary conditions in one-dimensional geometry. The flow is generated by a diffusion and a periodic deriving force induced by a…
Molecular dynamics simulations and a stochastic Fokker-Planck equation based approach are used to illuminate how position-dependent solvent mobility near one or more tracer particle(s) is affected when tracer-solvent interactions are…
We demonstrate that the Fokker-Planck equation can be generalized into a 'Fractional Fokker-Planck' equation, i.e. an equation which includes fractional space differentiations, in order to encompass the wide class of anomalous diffusions…
Stochastic transport processes on networked domains (modelled on metric graphs) arise in a variety of applications where diffusion and drift mechanisms interact with an underlying graph structure. The Fokker--Planck equation provides a…
Starting from microscopic interaction rules we derive kinetic models of Fokker--Planck type for vehicular traffic flow. The derivation is based on taking a suitable asymptotic limit of the corresponding Boltzmann model. As particular cases,…
Recent theoretical progress using multiscale asymptotic analysis has revealed various possible regimes of stratified turbulence. Notably, buoyancy transport can either be dominated by advection or diffusion, depending on the effective…
The transport of excitation probabilities amongst weakly coupled subunits is investigated for a class of finite quantum systems. It is demonstrated that the dynamical behavior of the transported quantity depends on the considered length…
Fokker-Planck equation with the velocity-dependent coefficients is considered for various isotropic systems on the basis of probability transition (PT) approach. This method provides the self-consistent and universal description of friction…
In many instances, the dynamical richness and complexity observed in natural phenomena can be related to stochastic drives influencing their temporal evolution. For example, random noise allied to spatial asymmetries may induce…
The phenomena of nonlocal transport in magnetically confined plasma are theoretically analyzed. A hybrid model is proposed, which brings together the notion of inverse energy cascade, typical of drift-wave- and two-dimensional fluid…
The phenomena of nonlocal transport in magnetically confined plasma are theoretically analyzed. A hybrid model is proposed, which brings together the notion of inverse energy cascade, typical of drift-wave- and two-dimensional fluid…
We present a framework, which, from the trajectories detailing the spatiotemporal dynamics of a population, simultaneously reconstructs a transport map as well as the Fokker-Planck equation governing the coarse-grained probability…