In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a stochastic control problem for an evolution system in a Hilbert space. The regularity of the solution of the adjoint equation, that is a backward stochastic equat...

We prove maximal L-regularity for the stochastic evolution equation

In this article, we consider a set of trial wave-functions denoted by |Q〉 and an associated set of operators Aα which generate transformations connecting those trial states. Using variational principles, we show that we can always obtain a quantum Monte-Carlo method where the quantum evolution of a system is replaced by jumps between density matrices of the form D = |Qa〉 〈Qb|, and where the ave...

Supplementary Material A. Background on Fokker-Planck Equation The Fokker-Planck equation (FPE) associated with a given stochastic differential equation (SDE) describes the time evolution of the distribution on the random variables under the specified stochastic dynamics. For example, consider the SDE: dz = g(z)dt+N (0, 2D(z)dt), (16) where z ∈ R, g(z) ∈ R, D(z) ∈ Rn×n. The distribution of z go...

In this paper we develop an efficient stochastic method to solve the time evolution of a bivariate population balance equation which has been developed for modelling nano-particle dynamics. We have adapted the existing stochastic models used in the study of coagulation dynamics to solve a variant of the sintering-coagulation equation proposed by Xiong & Pratsinis. Hitherto stochastic models bas...

A characterisation of the stochastic bounded generators of quantum irreversible Master equations is given. This suggests the general form of quantum stochastic evolution with respect to the Poisson (jumps), Wiener (diffusion) or general Quantum Noise. The corresponding irreversible Heisen-berg evolution in terms of stochastic completely positive (CP) maps is found and the general form of the st...

The most general local Markovian stochastic model is investigated, for which it is known that the evolution equation is the Fokker-Planck equation. Special cases are investigated where uncorrelated initial states remain uncorrelated. Finally, stochastic one-dimensional fields with local interactions are studied that have kink-solutions. PACS numbers: 05.40.-a, 02.50.Ga

in this paper, we propose a new method for solving the stochastic advection-diffusion equation of ito type. in this work, we use a compact finite difference approximation for discretizing spatial derivatives of the mentioned equation and semi-implicit milstein scheme for the resulting linear stochastic system of differential equation. the main purpose of this paper is the stability investigatio...

In this paper parabolic random partial differential equations and parabolic stochastic partial differential equations driven by a Wiener process are considered. A deterministic, tensorized evolution equation for the second moment and the covariance of the solutions of the parabolic stochastic partial differential equations is derived. Well-posedness of a space-time weak variational formulation ...

Hughston has recently proposed a stochastic extension of the Schrödinger equation, expressed as a stochastic differential equation on projective Hilbert space. We derive new projective Hilbert space identities, which we use to give a general proof that Hughston’s equation leads to state vector collapse to energy eigenstates, with collapse probabilities given by the quantum mechanical probabilit...