Stochastic models for solution dynamics: The friction and diffusion coefficients
نویسندگان
چکیده
منابع مشابه
Stochastic averaging for SDEs with Hopf Drift and polynomial diffusion coefficients
It is known that a stochastic differential equation (SDE) induces two probabilistic objects, namely a difusion process and a stochastic flow. While the diffusion process is determined by the innitesimal mean and variance given by the coefficients of the SDE, this is not the case for the stochastic flow induced by the SDE. In order to characterize the stochastic flow uniquely the innitesimal cov...
متن کاملLow Rank Solution of Unsteady Diffusion Equations with Stochastic Coefficients
We study the solution of linear systems resulting from the discreitization of unsteady diffusion equations with stochastic coefficients. In particular, we focus on those linear systems that are obtained using the so-called stochastic Galerkin finite element method (SGFEM). These linear systems are usually very large with Kronecker product structure and, thus, solving them can be both timeand co...
متن کاملNumerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
We present Runge-Kutta methods of high accuracy for stochastic differential equations with constant diffusion coefficients. We analyze L2 convergence of these methods and present convergence proofs. For scalar equations a second-order method is derived, and for systems a method of order one-and-one-half is derived. We further consider a variance reduction technique based on Hermite expansions f...
متن کاملStochastic models for relativistic diffusion.
The diffusion equation is related to the Schrödinger equation by analytic continuation. The formula E2=p2c2 + m2c4 leads to a relativistic Schrödinger equation, and analytic continuation yields a relativistic diffusion equation that involves fractional calculus. This paper develops stochastic models for relativistic diffusion and equivalent differential equations with no fractional derivatives....
متن کاملDynamics and absorption properties of stochastic equations with Hölder diffusion coefficients
In this article, we characterize the dynamics and absorption properties of a class of stochastic differential equations around singular points where both the drift and diffusion functions vanish. According to the Hölder coefficient α of the diffusion function around the singular point, we identify different regimes: a regime where the solutions almost surely reach the singular point in finite t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Chemical Physics
سال: 1988
ISSN: 0021-9606,1089-7690
DOI: 10.1063/1.454431