Short-Term Prediction of the Sea State Dynamics

Forecasting of the sea level plays a key role to control on- and offshore facilities. First, we start with a determinstic time series method based on the state space embedding to determine the vector field of the nonlinear dynamical system and deduce the solution of its corresponding high-order differential equation. Second, We assume that the sea state is a stochastic process governed by a deterministic part and by noise so that this dynamical system can be modelled by the Langevin equation. We extract the nonlinear dynamical system considering fluctuations directly from a measured time series by estimating the drift vector and the diffusion matrix of the Fokker-Planck equation. In order to determine the prediction accuracy, the numerical solutions of the deterministic model and the Langevin equation are compared to the data values at future time. (© 2011 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Ensemble Averaging for Dynamical Systems Under Fast Oscillating Random Boundary Conditions

This article is devoted to providing a theoretical underpinning for ensemble forecasting with rapid fluctuations in body forcing and in boundary conditions. Ensemble averaging principles are proved under suitable “mixing” conditions on random boundary conditions and on random body forcing. The ensemble averaged model is a nonlinear stochastic partial differential equation, with the deviation process (i.e., the approximation error process) quantified as the solution of a linear stochastic partial differential equation.     

结构非线性风振的路径积分方法

通过引入相关脉动风速滤波,将结构非线性风振方程转变为Ito随机微分方程的形式;该方程的解过程具有Markov性质．在时域内将状态方程展开,利用其瞬时线性化随机方程的解析解,基于路径积分给出了结构非线性风振响应概率密度的形式解,得到了一种分析结构非线性风振响应的新方法．对桅杆算例的数值分析表明,该方法较线性频域分析方法和非线性时域积分方法具有更好的准确性和有效性．     

Fast-diffusion limit with large noise for systems of stochastic reaction-diffusion equations

We consider a class of a stochastic reaction-diffusion equations with additive noise. In the limit of fast diffusion, one can approximate solutions of the stochastic reaction–diffusion equations by the solution of a suitable system of ordinary differential equation only describing the reactions, but due to nonlinear interaction of large diffusion and fluctuations in the limit new effective reaction terms appear. We focus on systems with polynomial nonlinearities and illustrate the result by applying it to a predator-prey system and a cubic auto-catalytic reaction between two chemicals.     

Global existence of solutions to a coupled coagulation system

We consider a model equations describing the coagulation process of a gas on a surface. The problem is modeled by two coupled equations. The first one is a nonlinear transport equation with bilinear coagulation operator while the second one is a nonlinear ordinary differential equation. The velocity and the boundary condition of the transport equation depend on the supersaturation function satisfying the nonlinear ode. We first prove global existence and uniqueness of solution to the nonlinear transport equation then, we consider the coupled problem and prove existence in the large of solutions to the full coagulation system.     

Transition between Airy1 and Airy2 processes and TASEP fluctuations

We consider the totally asymmetric simple exclusion process, a model in the KPZ universality class. We focus on the fluctuations of particle positions, starting with certain deterministic initial conditions. For large time t, one has regions with constant and linearly decreasing density. The fluctuations on these two regions are given by the Airy₁ and Airy₂ processes, whose one‐point distributions are the GOE and GUE Tracy‐Widom distributions of random matrix theory. In this paper we analyze the transition region between these two regimes and obtain the transition process. Its one‐point distribution is a new interpolation between GOE and GUE edge distributions. © 2007 Wiley Periodicals, Inc.     

Diffusion Processes Associated with Nonlinear Evolution Equations for Signed Measures

In this paper, we explain how to associate a nonlinear martingale problem with some nonlinear parabolic evolution equations starting at bounded signed measures. Our approach generalizes the classical link made when the initial condition is a probability measure. It consists in giving to each sample-path a signed weight which depends on the initial position. After dealing with the classical McKean-Vlasov equation as an introductory example, we are interested in a viscous scalar conservation law. We prove uniqueness for the corresponding nonlinear martingale problem and then obtain existence thanks to a propagation of chaos result for a system of weakly interacting diffusion processes. Last, we study the behavior of the associated fluctuations and present numerical results which confirm the theoretical rate of convergence.     

A Multiresolution Method for Numerical Reduction and Homogenization of Nonlinear ODEs

The multiresolution analysis (MRA) strategy for the reduction of a nonlinear differential equation is a procedure for constructing an equation directly for the coarse scale component of the solution. The MRA homogenization process is a method for building a simpler equation whose solution has the same coarse behavior as the solution to a more complex equation. We present two multiresolution reduction methods for nonlinear differential equations: a numerical procedure and an analytic method. We also discuss one possible appproach to the homogenization method.     

Multiparticle space-time transitions in the totally asymmetric simple exclusion process

We study correlation functions of the totally asymmetric simple exclusion process (TASEP) in discrete time with backward sequential update. We prove a determinant formula for the generalized Green’s function describing transitions between particle positions at given instants. As an example, we calculate the current correlation function, i.e., the joint probability distribution of times required by each particle to travel a given distance. An asymptotic analysis shows that current fluctuations converge to the Airy ₂ process.     

Global fluctuations in general Dyson’s Brownian motion

We consider a system of diffusing particles on the real line in a quadratic external potential and with a logarithmic interaction potential. The empirical measure process is known to converge weakly to a deterministic measure-valued process as the number of particles tends to infinity. Provided the initial fluctuations are small, the rescaled linear statistics of the empirical measure process converge in distribution to a Gaussian limit for sufficiently smooth test functions. For a large class of analytic test functions, we derive explicit general formulae for the mean and covariance in this central limit theorem by analyzing a partial differential equation characterizing the limiting fluctuations.     

Nonstationary probabilities and time correlation functions for an asymmetric exclusion process

We give the complete solution of the master equation for a system of interacting particles with finite density. We obtain the solution using a new form of the Bethe ansatz for an asymmetric simple exclusion process on the ring. We first find the one-point time correlation function for the discrete version of the process. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 146, No. 3, pp. 499–508, March, 2006.     

Connection between an Exactly Solvable Stochastic Optimal Control Problem and a Nonlinear Reaction-Diffusion Equation

We present an exactly soluble optimal stochastic control problem involving a diffusive two-states random evolution process and connect it to a nonlinear reaction-diffusion type of equation by using the technique of logarithmic transformations. The work generalizes the recently established connection between the non-linear Boltzmann-like equations introduced by Ruijgrok and Wu and the optimal control of a two-states random evolution process. In the sense of this generalization, the nonlinear reaction-diffusion equation is identified as the natural diffusive generalization of the Ruijgrok–Wu and Boltzmann model.     

轴向变速运动粘弹性弦线横向振动的复模态Galerkin方法

在考虑初始张力和轴向速度简谐涨落的情况下,利用含预应力三维变形体的运动方程,建立了轴向变速运动弦线横向振动的非线性控制方程,材料的粘弹性行为由Kelvin模型描述．利用匀速运动线性弦线的模态函数构造了变速运动非线性弦线复模态Galerkin方法的基底函数,并借助构造出来的基底函数研究了复模态Galerkin方法在轴向变速运动粘弹性弦线非线性振动分析中的应用．数值结果表明,复模态Galerkin方法相比实模态Galerkin方法对变系数陀螺系统有较高的收敛速度．     

Hydrodynamical limit for a nongradient system: The generalized symmetric exclusion process

We consider a symmetric simple exclusion process where at most two particles per site are permitted. This model turns out to be nongradient. We prove that the particles' densities, under a diffusive rescaling of space and time, converge to the solution of a diffusion equation. We give a variational characterization of the diffusion coefficent. We also prove, for the generator of the process in finite volume, a lower bound on the spectral gap uniform in the volume. © 1994 John Wiley & Sons, Inc.     

Exhaustive study of the noise-induced phase transition in a stochastic model of self-catalyzed reactions

We completely investigate the stationary distribution density in the space of relative concentrations for the three-parameter stochastic Horsthemke–Lefever model of a binary self-catalyzed cyclic chemical reaction with perturbations produced by thermal fluctuations of reagents taken into account. This model is a stationary diffusion random process generated by a stochastic equation with the Stratonovich differential, whose marginal distribution density admits a bifurcation restructuring from the unimodal to the bimodal phase with increasing noise intensity, which is interpreted physically as a dynamical phase transition induced by fluctuations in the system.     

Convergence of a stochastic particle approximation for fractional scalar conservation laws

We are interested in a probabilistic approximation of the solution to scalar conservation laws with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation is based on a stochastic differential equation driven by an α-stable Lévy process and involving a nonlinear drift. The approximation is constructed using a system of particles following a time-discretized version of this stochastic differential equation, with nonlinearity replaced by interaction. We prove convergence of the particle approximation to the solution of the conservation law as the number of particles tends to infinity whereas the discretization step tends to 0 in some precise asymptotics.     

Fluctuations of TASEP on a Ring in Relaxation Time Scale

We consider the totally asymmetric simple exclusion process on a ring with flat and step initial conditions. We assume that the size of the ring and the number of particles tend to infinity proportionally and evaluate the fluctuations of tagged particles and currents. The crossover from the KPZ dynamics to the equilibrium dynamics occurs when the time is proportional to the 3/2 power of the ring size. We compute the limiting distributions in this relaxation time scale. The analysis is based on an explicit formula of the finite‐time one‐point distribution obtained from the coordinate Bethe ansatz method. © 2017 Wiley Periodicals, Inc.     

Convergence of a misanthrope process to the entropy solution of 1D problems

We prove the convergence, in some strong sense, of a Markov process called “a misanthrope process” to the entropy weak solution of a one-dimensional scalar nonlinear hyperbolic equation. Such a process may be used for the simulation of traffic flows. The convergence proof relies on the uniqueness of entropy Young measure solutions to the nonlinear hyperbolic equation, which holds for both the bounded and the unbounded cases. In the unbounded case, we also prove an error estimate. Finally, numerical results show how this convergence result may be understood in practical cases.     

A probabilistic interpretation and stochastic particle approximations of the 3-dimensional Navier-Stokes equations

We develop a probabilistic interpretation of local mild solutions of the three dimensional Navier-Stokes equation in the L^p spaces, when the initial vorticity field is integrable. This is done by associating a generalized nonlinear diffusion of the McKean-Vlasov type with the solution of the corresponding vortex equation. We then construct trajectorial (chaotic) stochastic particle approximations of this nonlinear process. These results provide the first complete proof of convergence of a stochastic vortex method for the Navier-Stokes equation in three dimensions, and rectify the algorithm conjectured by Esposito and Pulvirenti in 1989. Our techniques rely on a fine regularity study of the vortex equation in the supercritical L^p spaces, and on an extension of the classic McKean-Vlasov model, which incorporates the derivative of the stochastic flow of the nonlinear process to explain the vortex stretching phenomenon proper to dimension three. Supported by Fondecyt Project 1040689 and Nucleus Millennium Information and Randomness ICM P01-005.