A time-changed discretization for the Dirac equation is proposed. More precisely, we consider a Dirac equation with discrete space and continuous time perturbed by a time-dependent diffusion term $σ^2Ht^{2H-1}$ that seamlessly describes a latticizing version of the time-changed Fokker-Planck equation carrying the Hurst parameter $0<H<1$. Our model problem formulated on the space-time lattice $\mathbb{R}_{h,α}^n\times [0,\infty)$ ($h>0$ and $0<α<\frac{1}{2}$) preserves the main features of the Dirac-Kähler type discretization over the space-time lattice $h\mathbb{Z}^n\times [0,\infty)$ in case of $α,H \rightarrow 0$, and encompasses a regularization of Wilson's approach [Physical review D, 10(8), 2445, 1974] for values of $H$ in the range $0<H\leq \frac{1}{2}$ (limit condition $α\rightarrow \frac{1}{2}$).
The main focus here is the representation of the solutions by means of discrete convolution formulae involving a kernel function encoded by (unnormalized) Hartman-Watson distributions -- ubiquitous on stochastic processes of Bessel type -- and the solutions of a semi-discrete equation of Klein-Gordon type. Namely, on our main construction the ansatz function $\widehat{\varPsi}_H(y)$ appearing on the discrete convolution representation may be rewritten as a Mellin convolution type integral involving the solutions $\varPsi(x,t|p)$ of a semi-discrete equation of Klein-Gordon type and a Lévy one-sided distribution $L_H(u)$ in disguise. Interesting enough, by employing Mellin-Barnes integral representations it turns out that the underlying solutions of Klein-Gordon type may be represented through generalized Wright functions of type ${~}_1Ψ_1$, that converge uniformly in case that the quantity $α+\frac{1}{2}$ may be regarded as an lower estimate for the Hurst parameter in the superdiffusive case (that is, if $α+\frac{1}{2}\leq H<1$).
In this paper Fokker-Planck-Kolmogorov type equations associated with stochastic differential equations driven by a time-changed fractional Brownian motion are derived. Two equivalent forms are suggested. The time-change process considered is either the first hitting time process for a stable subordinator or a mixture of stable subordinators. A family of operators arising in the representation of the Fokker-Plank-Kolmogorov equations is shown to have the semigroup property.
By using the probability approach (the Malliavin calculus), we prove the existence of smooth fundamental solutions for degenerate kinetic Fokker-Planck equation with anisotropic nonlocal dissipativity, where the dissipative term is the generator of an anisotropic Lévy process and the drift term is allowed to be cubic growth.
In this paper, we study the long-time behaviour of solutions to the Vlasov-Fokker-Planck equation where the confining potential is non-convex. This is a nonlocal nonlinear partial differential equation describing the time evolution of the probability distribution of a particle moving under the influence of a non-convex potential, an interaction potential, a friction force and a stochastic force. Using the free-energy approach, we show that under suitable assumptions solutions of the Vlasov-Fokker-Planck equation converge to an invariant probability.
We study the pointwise (in the space and time variables) behavior of the Fokker-Planck Equation with flat confinement. The solution has very clear description in the $xt-$plane, including large time behavior, initial layer and asymptotic behavior. Moreover, the structure of the solution highly depends on the potential function.
We study a class of nonlinear kinetic Fokker-Planck type equations modeling quantum particles which obey the Bose-Einstein and Fermi-Dirac statistics, respectively. We establish the existence of classical solutions in the perturbative regime and prove exponential convergence towards the equilibrium.
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. In this paper, we derive a Fractional Fokker--Planck equation for the probability distribution of particles whose motion is governed by a {\em nonlinear} Langevin-type equation, which is driven by a non-Gaussian Levy-stable noise. We obtain in fact a more general result for Markovian processes generated by stochastic differential equations.}
A (2+1)-dimensional linear ultra-parabolic Fokker--Planck--Kolmogorov equation is investigated from the group-theoretical point of view. By using the Berest--Aksenov approach, an algebra of invariance of fundamental solutions of the equation is found. A fundamental solution of the equation under study is computed in an explicit form as a weak invariant solution.
We consider kinetic Fokker-Planck (or Vlasov-Fokker-Planck) equations on the torus with Maxwellian or fat tail local equilibria. Results based on weak norms have recently been achieved by S. Armstrong and J.-C. Mourrat in case of Maxwellian local equilibria. Using adapted Poincaré and Lions-type inequalities, we develop an explicit and constructive method for estimating the decay rate of time averages of norms of the solutions, which covers various regimes corresponding to subexponential, exponential and superexponential (including Maxwellian) local equilibria. As a consequence, we also derive…
We determine the Lie point symmetries of the Fokker-Planck equation and provide examples of solutions of this equation. The Fokker-Planck equation admits a conserved form, hence there is an auxiliary system associated to this equation and whose point symmetries give rise to potential symmetries of the Fokker-Planck equation.
In this article we try to bridge the gap between the quantum dynamical semigroup and Wigner function approaches to quantum open systems. In particular we study stationary states and the long time asymptotics for the quantum Fokker-Planck equation. Our new results apply to open quantum systems in a harmonic confinement potential, perturbed by a (large) sub-quadratic term.
We classify (1+3)-dimensional Fokker-Planck equations with a constant diagonal diffusion matrix that are solvable by the method of separation of variables. As a result, we get possible forms of the drift coefficients $B_1(\vec x),B_2(\vec x),B_3(\vec x)$ providing separability of the corresponding Fokker-Planck equations and carry out variable separation in the latter. It is established, in particular, that the necessary condition for the Fokker-Planck equation to be separable is that the drift coefficients $\vec B(\vec x)$ must be linear. We also find the necessary condition for R-separabilit…
In this paper we present a direct perturbative method to solving certain Fokker-Planck equations, which have constant diffusion coefficients and some small parameters in the drift coefficients. The method makes use of the connection between the Fokker-Planck and Schrödinger equations. Two examples are used to illustrate the method. In the first example the drift coefficient depends only on time but not on space. In the second example we consider the Uhlenbeck-Ornstein process with a small drift coefficient. These examples show that the such perturbative approach can be a useful tool to obtain …
We study the quadratic Kramers-Fokker-Planck operator with a constant magnetic field and with a quadratic potential. We describe the exact expression of the norm of the semi-group associated to the operator near the equilibrium. At this level, explicit and accurate estimates of this norm are shown in small and long times as well as uniform-in-time estimates when the magnetic parameter $b$ tends to infinity.
This paper considers the Fokker-Planck equation and path integral formulation of the fractional Ornstein-Uhlenbeck process parametrized by two indices. The effective Fokker-Planck equation of this process is derived from the associated fractional Langevin equation. Path integral representation of the process is constructed and the basic quantities are evaluated.
We study operators of Kramers-Fokker-Planck type in the semiclassical limit, assuming that the exponent of the associated Maxwellian is a Morse function with a finite number $n_0$ of local minima. Under suitable additional assumptions, we show that the first $n_0$ eigenvalues are real and exponentially small, and establish the complete semiclassical asymptotics for these eigenvalues.
The Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and are thus widely used to quantify random phenomena such as uncertainty propagation. For dynamical systems driven by non-Gaussian Lévy processes, however, it is difficult to obtain explicit forms of Fokker-Planck equations because the adjoint operators of the associated infinitesimal generators usually do not have exact formulation. In the present paper, Fokker- Planck equations are derived in terms of infinite series for nonlinear stochastic differential equations with non-Gaussian L…
The exact solution of the Cauchy problem for a generalized "linear" vectorial Fokker-Planck equation is found using the disentangling techniques of R. Feynman and algebraic (operational) methods. This approach may be considered as a generalization of the Masuo Suzuki's method for solving the 1-dimensional linear Fokker-Planck equation.
In a previous work, a perturbative approach to a class of Fokker-Planck equations, which have constant diffusion coefficients and small time-dependent drift coefficients, was developed by exploiting the close connection between the Fokker-Planck equations and the Schrodinger equations. In this work, we further explore the possibility of similarity solutions of such a class of Fokker-Planck equations. These solutions possess definite scaling behaviors, and are obtained by means of the so-called similarity method.
By collecting from literature data the experimental evidences of anomalous diffusion of passive tracers inside cytoplasm, and in particular of subdiffusion of mRNA molecules inside live E. coli cells, we get the probability density function of molecules' displacement and we derive the corresponding Fokker-Planck equation. Molecules' distribution emerges to be related to the Krätzel function and its Fokker-Planck equation be a fractional diffusion equation in the Erdélyi-Kober sense. The irreducibility of the derived Fokker-Planck equation to those of other literature models is also discussed.
This paper is devoted to the fractional generalization of the Fokker-Planck equation associated with a stochastic differential equation in a bounded domain. The driving process of the stochastic differential equation is a Lévy process subordinated to the inverse of Lévy's mixed stable subordinators. The Fokker-Planck equation is given through the general Waldenfels operator, while the boundary condition is given through the general Wentcel's boundary condition. As a fractional operator a distributed order differential operator with a Borel mixing measure is considered. In the paper fractional …
The Fokker-Planck equation needs to be modified when the diffusion parameters are not constant, in order to match it with the backward equation. It even becomes simpler, and the integration of the underlying stochastic differential equation must obey the "anti-Ito" sense (with the latest evaluation point).
Starting from microscopic interaction rules we derive kinetic models of Fokker--Planck type for vehicular traffic flow. The derivation is based on taking a suitable asymptotic limit of the corresponding Boltzmann model. As particular cases, the derived models comprise existing models. New Fokker--Planck models are also given and their differences to existing models are highlighted. Finally, we report on numerical experiments.
In this work we present new exact similarity solutions with moving boundaries of the Fokker-Planck equation having both time-dependent drift and diffusion coefficients.
We consider operators of Kramers-Fokker-Planck type in the semi-classical limit such that the exponent of the associated Maxwellian is a Morse function with two local minima and a saddle point. Under suitable additional assumptions we establish the complete asymptotics of the exponentially small splitting between the first two eigenvalues.
We study some accurate semiclassical resolvent estimates for operators that are neither selfadjoint nor elliptic, and applications to the Cauchy problem. In particular we get a precise description of the spectrum near the imaginary axis and precise resolvent estimates inside the pseudo-spectrum. We apply our results to the Kramers-Fokker-Planck operator.
This paper presents an overview of the Fokker-Planck formalism for non-biological magnetic resonance simulations, describes its existing applications and proposes some novel ones. The most attractive feature of Fokker-Planck theory compared to the commonly used Liouville - von Neumann equation is that, for all relevant types of spatial dynamics (spinning, diffusion, flow, etc.), the corresponding Fokker-Planck Hamiltonian is time-independent. Many difficult NMR, EPR and MRI simulation problems (multiple rotation NMR, ultrafast NMR, gradient-based zero-quantum filters, diffusion and flow NMR, o…
In this work, we consider the solvability of the Fokker-Planck equation with both time-dependent drift and diffusion coefficients by means of the similarity method. By the introduction of the similarity variable, the Fokker-Planck equation is reduced to an ordinary differential equation. Adopting the natural requirement that the probability current density vanishes at the boundary, the resulted ordinary differential equation turns out to be integrable, and the probability density function can be given in closed form. New examples of exactly solvable Fokker-Planck equations are presented, and t…
We consider the fractional generalizations of equation that defines the medium mass. We prove that the fractional integrals can be used to describe the media with noninteger mass dimensions. Using fractional integrals, we derive the fractional generalization of the Chapman-Kolmogorov equation (Smolukhovski equation). In this paper fractional Fokker-Planck equation for fractal media is derived from the fractional Chapman-Kolmogorov equation. Using the Fourier transform, we get the Fokker-Planck-Zaslavsky equations that have fractional coordinate derivatives. The Fokker-Planck equation for the f…
In this paper, we formulate the relativistic heat equation and the relativistic kinetic Fokker-Planck equations into the GENERIC (General Equation for Non-Equilibrium Reversible-Irreversible Coupling) framework. We also show that the relativistic Maxwellian distribution is the stationary solution of the latter. The GENERIC formulation provides an alternative justification that the two equations are meaningful relativistic generalizations of their nonrelativistic counterparts.
The statistics of rare events, the so-called black-swan events, is governed by non-Gaussian distributions with heavy power-like tails. We calculate the Green functions of the associated Fokker-Planck equations and solve the related stochastic differential equations. We also discuss the subject in the framework of path integration.
We study the low-energy behavior of the Green function for one-dimensional Fokker-Planck and Schrödinger equations with periodic potentials. We derive a formula for the power series expansion of reflection coefficients in terms of the wave number, and apply it to the low-energy expansion of the Green function.
We consider exact and quasi-exact solvability of the one-dimensional Fokker-Planck equation based on the connection between the Fokker-Planck equation and the Schrödinger equation. A unified consideration of these two types of solvability is given from the viewpoint of prepotential together with Bethe ansatz equations. Quasi-exactly solvable Fokker-Planck equations related to the $sl(2)$-based systems in Turbiner's classification are listed. We also present one $sl(2)$-based example which is not listed in Turbiner's scheme.
It is pointed out that, for the fractional Fokker-Planck equation for subdiffusion proposed by Metzler, Barkai, and Klafter [Phys. Rev. Lett. 82 (1999) 3563], there are four types of infinitely many exact solutions associated with the newly discovered exceptional orthogonal polynomials. They represent fractionally deformed versions of the Rayleigh process and the Jacobi process.
Based on the well-known relation between Fokker-Planck equations and Schroedinger equations of quantum mechanics (QM), we propose new deformed Fokker-Planck (FP) equations associated with the Schroedinger equations of "discrete" QM. The latter is a natural discretization of QM and its Schroedinger equations are difference instead of differential equations. Exactly solvable FP equations are obtained corresponding to exactly solvable "discrete" QM, whose eigenfunctions include various deformations of the classical orthogonal polynomials.
