相关论文: Fractional Sobolev processes on Wasserstein spaces…

We study a generalization of the Monge--Kantorovich optimal transport problem. Given a prescribed family of time-dependent probability measures $(\mu_t)$, we aim to find, among all path-continuous stochastic processes whose one-dimensional…

The Fokker-Planck equation describing the transport of energetic particles interacting with turbulence is difficult to solve analytically. Numerical solutions are of course possible but they are not always useful for applications. In the…

In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…

Researchers from different areas have independently defined extensions of the usual weak convergence of laws of stochastic processes with the goal of adequately accounting for the flow of information. Natural approaches are convergence of…

We study Markov processes associated with stochastic differential equations, whose non-linearities are gradients of convex functionals. We prove a general result of existence of such Markov processes and a priori estimates on the transition…

Analytical models describing the motion of colloidal particles in given velocity fields are presented. In addition to local approaches, leading to well known master equations such as the Langevin and the Fokker-Planck equations, a global…

We consider a coupled system of Keller-Segel type equations and the incompressible Navier-Stokes equations in spatial dimension two and three. In the previous work [19], we established the existence of a weak solution of a Fokker-Plank…

A common problem in physics and engineering is the calculation of the minima of energy functionals. The theory of Sobolev gradients provides an efficient method for seeking the critical points of such a functional. We apply the method to…

We consider Fokker-Planck equations with tilted periodic potential in the subcritical regime and characterize the spatio-temporal dynamics of the partial masses in the limit of vanishing diffusion. Our convergence proof relies on suitably…

We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium…

Causal optimal transport and adapted Wasserstein distance have applications in different fields from optimization to mathematical finance and machine learning. The goal of this article is to provide equivalent formulations of these concepts…

In this article we present an $L_p$-theory ($p\geq 2$) for the time-fractional quasi-linear stochastic partial differential equations (SPDEs) of type $$ \partial^{\alpha}_tu=L(\omega,t,x)u+f(u)+\partial^{\beta}_t \sum_{k=1}^{\infty}\int^t_0…

We consider partially observable Markov decision processes (POMDPs) with a set of target states and positive integer costs associated with every transition. The traditional optimization objective (stochastic shortest path) asks to minimize…

We study absolutely continuous curves in the adapted Wasserstein space of filtered processes. We provide a probabilistic representation of such curves as flows of adapted processes on a common filtered probability space, extending classical…

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…

We study a nonlinear stochastic partial differential equation whose solution is the conditional log-Laplace functional of a superprocess in a random environment. We establish its existence and uniqueness by smoothing out the nonlinear term…

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…

In neuroscience, the distribution of a decision time is modelled by means of a one-dimensional Fokker--Planck equation with time-dependent boundaries and space-time-dependent drift. Efficient approximation of the solution to this equation…

The computation of the probability of the first-passage time through a given threshold of a stochastic process is a classic problem that appears in many branches of physics. When the stochastic dynamics is markovian, the probability admits…

This paper explores the well-posedness of the Cauchy problem for the Fokker-Planck equation associated with the partial differential operator $L$ with low regularity condition. To address uniqueness, we apply a recently developed…