Search results for "Stochastic differential equation"

An approximate technique for determining in closed-form the response transition probability density function of diverse nonlinear/hysteretic oscillat…

2019

An approximate analytical technique is developed for determining, in closed form, the transition probability density function (PDF) of a general class of first-order stochastic differential equations (SDEs) with nonlinearities both in the drift and in the diffusion coefficients. Specifically, first, resorting to the Wiener path integral most probable path approximation and utilizing the Cauchy–Schwarz inequality yields a closed-form expression for the system response PDF, at practically zero computational cost. Next, the accuracy of this approximation is enhanced by proposing a more general PDF form with additional parameters to be determined. This is done by relying on the associated Fokke…

Stochastic 0-dimensional Biogeochemical Flux Model: Effect of temperature fluctuations on the dynamics of the biogeochemical properties in a marine e…

2021

Abstract We present a new stochastic model, based on a 0-dimensional version of the well known biogeochemical flux model (BFM), which allows to take into account the temperature random fluctuations present in natural systems and therefore to describe more realistically the dynamics of real marine ecosystems. The study presents a detailed analysis of the effects of randomly varying temperature on the lower trophic levels of the food web and ocean biogeochemical processes. More in detail, the temperature is described as a stochastic process driven by an additive self-correlated Gaussian noise. Varying both correlation time and intensity of the noise source, the predominance of different plank…

STOCHASTIC DYNAMICS OF TWO PICOPHYTOPLANKTON POPULATIONS IN A REAL MARINE ECOSYSTEM

2013

A stochastic reaction-diffusion-taxis model is analyzed to get the stationary distribution along water column of two species of picophytoplankton, that is picoeukaryotes and Prochlorococcus. The model is valid for weakly mixed waters, typical of the Mediterranean Sea. External random fluctuations are considered by adding a multiplicative Gaussian noise to the dynamical equation of the nutrient concentration. The statistical tests show that shape and magnitude of the theoretical concentration profile exhibit a good agreement with the experimental findings. Finally, we study the effects of seasonal variations on picophytoplankton groups, including an oscillating term in the auxiliary equation…

Non-Markovian Wave Function Simulations of Quantum Brownian Motion

2005

The non-Markovian wave function method (NMWF) using the stochastic unravelling of the master equation in the doubled Hilbert space is implemented for quantum Brownian motion. A comparison between the simulation and the analytical results shows that the method can be conveniently used to study the non-Markovian dynamics of the system.

The Langevin Equation

2009

Nonlinear SDE Excited by External Lévy White Noise Processes

2011

A numerical method for approximating the statistics of the solution of nonlinear stochastic systems excited by Gaussian and non-Gaussian external white noises is proposed. The differential equation governing the evolution in time of the characteristic function is resolved by the convolution quadrature method. This approach is especially suited for those problems in which the nonlinear drift term is not of polynomial form. In such cases the equation governing the evolution in time of the characteristic function is not a partial differential equation. Statistics are found by introducing an integral operator of Wiener-Hopf type, called the transformation operator, and applying the Lubich's con…

A Langevin Approach to the Diffusion Equation

2002

We propose a generalized Langevin equation as a model for the diffusion equation of air pollution in the atmosphere. We write down a partial stochastic differential equation for the pollutant concentration, which we solve exactly obtaining the first and the second moment of the pollutant concentration. We obtain a linear multiplicative stochastic differential equation for the Fourier components of the concentration, which can be used to calculate higher moments of the concentration. We obtain the exact steady state solution in the case of neutral atmosphere and a general expression of the mean concentration as a function of the fluctuation intensity of the wind speed, the diffusion coeffici…

Acceleration of diffusion in randomly switching potential with supersymmetry

2004

We investigate the overdamped Brownian motion in a supersymmetric periodic potential switched by Markovian dichotomous noise between two configurations. The two configurations differ from each other by a shift of one-half period. The calculation of the effective diffusion coefficient is reduced to the mean first passage time problem. We derive general equations to calculate the effective diffusion coefficient of Brownian particles moving in arbitrary supersymmetric potential. For the sawtooth potential, we obtain the exact expression for the effective diffusion coefficient, which is valid for the arbitrary mean rate of potential switchings and arbitrary intensity of white Gaussian noise. We…

The Fokker-Planck Equation

2009

Stochastic Kinetics with Wave Nature

2003

We consider stochastic second-order partial differential equations. We indroduce a noisy non-linear wave equation and discuss its connections, in particular via the Lorentz transformation, with known stochastic models.