相关论文: Short-time Fokker-Planck propagator beyond the Gau…

Accurate prediction of rarefied gas flows is important for space vehicle design, particularly in rarefied regimes where the Navier-Stokes equations are no more valid. While the direct simulation Monte Carlo (DSMC) method acts as a numerical…

Using the Hamilton-Jacobi method, we solve chemical Fokker-Planck equations within the Gaussian approximation and obtain a simple and compact formula for a conditional probability distribution. The formula holds in general transient…

We show that for a subdiffusive continuous time random walk with scale-free waiting time distribution the first-passage dynamics on a finite interval can be optimised by introduction of a piecewise linear potential barrier. Analytical…

The Kramers-Moyal analysis is a well established approach to analyze stochastic time series from complex systems. If the sampling interval of a measured time series is too low, systematic errors occur in the analysis results. These errors…

Constraints on cosmological parameters from large-scale structure have traditionally been obtained from two-point statistics. However, non-linear structure formation renders these statistics insufficient in capturing the full information…

We show that when Brownian motion takes place in a heterogeneous medium, the presence of local forces and transport coefficients leads to deviations from a Gaussian probability distribution that make that the ratio between forward and…

We proposed the modified version of quantum-mechanical theory of continuous measurements for the case of classical open systems. In our approach the influence of measurement on evolution of distribution function of an open system is…

We consider a $N$-particle system interacting through the Newtonian potential with a polynomial cut-off in the presence of noise in velocity. We rigorously prove the propagation of chaos for this interacting stochastic particle system.…

This paper presents an elementary proof of quantitative uniform-in-time propagation of chaos for the Cucker--Smale model under sufficiently strong interaction. The idea is to combine existing finite-time propagation of chaos estimates with…

In this paper, we derive new continuous time limits of the Utterance Selection Model (USM) for language change (Baxter et al., Phys. Rev. E {\bf 73}, 046118, 2006). This is motivated by the fact that the Fokker-Planck continuous time limit…

In this article, the following results are obtained: the process of a randomly wandering particle having a size and a continuous trajectory of motion is considered; (b) based on the study of this probabilistic process, a derivation of the…

In this paper we study the dynamics of a fast-slow Fokker-Planck partial differential equation (PDE) viewed as the evolution equation for the density of a multiscale planar stochastic differential equation (SDE). Our key focus is on the…

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…

This note adapts a probabilistic approach to establish a quantified estimate of the overdamped limit for the Vlasov-Fokker-Planck equation towards the aggregation-diffusion equation, which in particular includes cases of the Newtonian type…

The invariant distribution, which is characterized by the stationary Fokker-Planck equation, is an important object in the study of randomly perturbed dynamical systems. Traditional numerical methods for computing the invariant distribution…

This paper is concerned with the Wigner-Poisson-Fokker-Planck system, a kinetic evolution equation for an open quantum system with a non-linear Hartree potential. Existence, uniqueness and regularity of global solutions to the Cauchy…

We study the effects of time and space correlations of an external additive colored noise on the steady-state behavior of a Time-Dependent Ginzburg-Landau model. Simulations show the existence of nonequilibrium phase transitions controlled…

In this paper, we study the numerical schemes for the two-dimensional Fokker-Planck equation governing the probability density function of the tempered fractional Brownian motion. The main challenges of the numerical schemes come from the…

A novel derivation of quantum propagator of a system described by a general quadratic Lagrangian is presented in the framework of Heisenberg equations of motion. The general corresponding density matrix is obtained for a derived quantum…

We consider estimating the predictive density under Kullback-Leibler loss in an $\ell_0$ sparse Gaussian sequence model. Explicit expressions of the first order minimax risk along with its exact constant, asymptotically least favorable…