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We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…
In this paper, we develop a Bernstein dual-Petrov-Galerkin method for the numerical simulation of a two-dimensional fractional diffusion equation. A spectral discretization is applied by introducing suitable combinations of dual Bernstein…
We analyze the diffusion of a Brownian particle in a fluid under stationary flow. By using the scheme of non-equilibrium thermodynamics in phase space, we obtain the Fokker-Planck equation which is compared with others derived from kinetic…
We study the random walk of a particle in a compartmentalized environment, as realized in biological samples or solid state compounds. Each compartment is characterized by its length $L$ and the boundaries transmittance $T$. We identify two…
The characterization of particle diffusion is a classical problem in physics and probability theory. The field of microrheology is based on experiments in which microscopic tracer beads are placed into a non-Newtonian fluid and tracked…
This paper presents a numerical method to implement the parameter estimation method using response statistics that was recently formulated by the authors. The proposed approach formulates the parameter estimation problem of It\^o drift…
Atmospheric turbulence is one of the lead disturbance factors for free-space quantum communication. The quantum states of light in such channels are affected by fluctuating losses characterized by the probability distribution of…
The effective diffusion of Brownian particles in periodic potential has been a central topic in nonequilibrium statistical physcis. A classical result is the Lifson formula which provides the effective diffusion constant in periodic…
Levy walk (LW) process has been used as a simple model for describing anomalous diffusion in which the mean squared displacement of the walker grows non-linearly with time in contrast to the diffusive motion described by simple random walks…
We investigate the relationship between the effective diffusivity and effective drift of a particle moving in a random medium. The velocity of the particle combines a white noise diffusion process with a local drift term that depends…
We are interested in this work in the numerical resolution of the Quantum Liouville-BGK equation, which arises in the derivation of quantum hydrodynamical models from first principles. Such models are often obtained in some asymptotic…
The transport equation of active motion is generalised to consider time-fractional dynamics for describing the anomalous diffusion of self-propelled particles observed in many different systems. In the present study, we consider an…
Using a microfluidics device filled with a colloidal suspension of microspheres, we test the laws of diffusion in the limit of small particle numbers. Our focus is not just on average properties such as the mean flux, but rather on the…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
Markov chains and diffusion processes are indispensable tools in machine learning and statistics that are used for inference, sampling, and modeling. With the growth of large-scale datasets, the computational cost associated with simulating…
The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time. In addition, these systems can show dynamic heterogeneities due…
The short-time motion of Brownian particles in an incompressible Newtonian fluid under shear, in which the fluid inertia becomes important, was investigated by direct numerical simulation of particulate flows. Three-dimensional simulations…
A variety of researchers have successfully obtained the parameters of low dimensional diffusion models using the data that comes out of atomistic simulations. This naturally raises a variety of questions about efficient estimation,…
We measured the overall motion of Brownian particles suspended in water by a self-mixing thin-slice solid-state laser with extreme optical sensitivity. From the demodulated signal of laser intensity fluctuations through self-mixing…
Stochastic chemical systems with diffusion are modeled with a reaction-diffusion master equation. On a macroscopic level, the governing equation is a reaction-diffusion equation for the averages of the chemical species. On a mesoscopic…