相关论文: Ergodicity of scalar stochastic differential equat…
We investigate a system of Brownian particles weakly bound by attractive parity-symmetric potentials that grow at large distances as $V(x) \sim |x|^\alpha$, with $0 < \alpha < 1$. The probability density function $P(x,t)$ at long times…
This paper investigates the probability distribution of solutions to McKean--Vlasov stochastic differential equations driven by fractional Brownian motion with Hurst parameter H>1/2. Our main contribution is the derivation of the associated…
In this paper, we consider the density estimation problem associated with the stationary measure of ergodic It\^o diffusions from a discrete-time series that approximate the solutions of the stochastic differential equations. To take an…
We present a class of stochastic processes in which the large deviation functions of time-integrated observables exhibit singularities that relate to dynamical phase transitions of trajectories. These illustrative examples include Brownian…
We introduce and study a class of models of free fermions hopping between neighbouring sites with random Brownian amplitudes. These simple models describe stochastic, diffusive, quantum, unitary dynamics. We focus on periodic boundary…
We investigate a family of generalized Fokker-Planck equations that contains Richardson and porous media equations as members. Considering a confining drift term that is related to an effective potential, we show that each equation of this…
In this paper, we consider a Stochastic Delay Differential Equation with constant delay $r>0$ and, under the same conditions on the coefficients needed to ensure the smoothness of the density plus an ellipticity condition on the diffusion…
We consider the linear Wigner-Fokker-Planck equation subject to confining potentials which are smooth perturbations of the harmonic oscillator potential. For a certain class of perturbations we prove that the equation admits a unique…
Motivated by the probabilistic representation for solutions of the Navier-Stokes equations, we introduce a novel class of stochastic differential equations that depend on the entire flow of its time marginals. We establish the existence and…
We discuss the stochastic thermodynamics of systems that are described by a time-dependent density field, for example simple liquids and colloidal suspensions. For a time-dependent change of external parameters, we show that the Jarzynski…
We study the ergodicity of stochastic reaction-diffusion equation driven by subordinate Brownian motions. After establishing the strong Feller property and irreducibility of the system, we prove the tightness of the solution's law. These…
We derive the probability density function of the positive occupation time of one-dimensional Brownian motion with two-valued drift. Long time asymptotics of the density are also computed. We use the result to describe the transitional…
We consider a nonlinear Fokker-Planck equation derived from a Cucker-Smale model for flocking with noise. There is a known phase transition depending on the noise between a regime with a unique stationary solution which is isotropic…
We study the convergence analysis for general degenerate and non-reversible stochastic differential equations (SDEs). We apply the Lyapunov method to analyze the Fokker-Planck equation, in which the Lyapunov functional is chosen as a…
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…
From the data analysis we defined distribution function against the population on the level of various structure units, namely regions, federal districts and the country on the whole. We have studied peculiarities of the distribution…
We investigate the effects of relatively rapid variations of the boundaries of an overmoded cavity on the stochastic properties of its interior acoustic or electromagnetic field. For quasi-static variations, this field can be represented as…
We study a particular generalisation of the classical Kramers model describing Brownian particles in the external potential. The generalised model includes the stochastic force which is modelled as an additive random noise that depends upon…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
The functional method to derive the fractional Fokker-Planck equation for probability distribution from the Langevin equation with Levy stable noise is proposed. For the Cauchy stable noise we obtain the exact stationary probability density…