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The kangaroo process (KP) is characterized by various forms of the covariance and can serve as a useful model of random noises. We discuss properties of that process for the exponential, stretched exponential and algebraic (power-law)…
We consider the non-equilibrium dynamics of a real quantum scalar field. We show the formal equivalence of the exact evolution equations for the statistical and spectral two-point functions with a fictitious Langevin process and examine the…
Nonlinear, multiplicative Langevin equations for a complete set of slow variables in equilibrium systems are generally derived on the basis of the separation of time scales. The form of the equations is universal and equivalent to that…
The excitation spectrum of the density collective oscillations is computed for multi-component molecular mixtures both with Coulomb and (repulsive) short-range interactions. Distinct sound-like excitations appear, governed by the…
In complex Langevin simulations, the insufficient decay of the probability density near infinity leads to boundary terms that spoil the formal argument for correctness. We present a formulation of this term that is cheaply measurable in…
Stochastic systems have a control-theoretic interpretation in which noise plays the role of control. In the weak-noise limit, relevant at low temperatures or in large populations, this leads to a precise mathematical mapping: the most…
Biochemical reaction networks in living cells usually involve reversible covalent modification of signaling molecules, such as protein phosphorylation. Under conditions of small molecule numbers, as is frequently the case in living cells,…
We investigate the regularizing effect of certain perturbations by noise in singular interacting particle systems under the mean field scaling. In particular, we show that the addition of a suitably irregular path can regularise these…
We generalise the Langevin equation with Gaussian white noise by replacing the velocity term by a local fractional derivative. The solution of this equation is a Levy process. We further consider the Brownian motion of a fractal particle,…
This note provides an introduction to molecular dynamics, the computational implementation of the theory of statistical physics. The discussion is focused on the properties of Langevin dynamics, a degenerate stochastic differential equation…
Starting from the simple point process model of 1/f noise we derive a stochastic nonlinear differential equation for the signal exhibiting 1/f noise in any desirably wide range of frequency. A stochastic differential equation (the general…
We provide a fully quantum description of a mechanical oscillator in the presence of thermal environmental noise by means of a quantum Langevin formulation based on quantum stochastic calculus. The system dynamics is determined by symmetry…
Langevin simulation provides an effective way to study collisional effects in beams by reducing the six-dimensional Fokker-Planck equation to a group of stochastic ordinary differential equations. These resulting equations usually have…
A stochastic version of the two-layer quasi-geostrophic model (2LQG) with multiplicative transport noise is analysed. This popular intermediate complexity model describes large scale atmosphere and ocean dynamics at the mid-latitudes. The…
We solve the generalized Langevin equation driven by a stochastic force with power-law autocorrelation function. A stationary Markov process has been applied as a model of the noise. However, the resulting velocity variance does not…
Generalized Langevin equations with non-linear forces and position-dependent linear friction memory kernels, such as commonly used to describe the effective dynamics of coarse-grained variables in molecular dynamics, are rigorously derived…
We investigate the properties of hysteresis cycles produced by a one-dimensional, periodically forced Langevin equation. We show that depending on amplitude and frequency of the forcing and on noise intensity, there are three qualitatively…
We are motivated by problems that arise in a number of applications such as Online Marketing and explosives detection, where the observations are usually modeled using Poisson statistics. We model each observation as a Poisson random…
The state-dependent diffusion, which concerns the Brownian motion of a particle in inhomogeneous media has been described phenomenologically in a number of ways. Based on a system-reservoir nonlinear coupling model we present a microscopic…
We propose a model for demixing of two species by assuming a density-dependent effective diffusion coefficient of the particles. Both sorts of microswimmers diffuse as active overdamped Brownian particles with a noise intensity that is…