Quantum non-Markovian Langevin equations and transport coefficients for an inverted oscillator

Based on the non-Markovian quantum Langevin equations, we obtain time-dependent transport coefficients for an inverted oscillator coupled linearly in the coordinate to a thermostat. We comparatively analyze the diffusion coefficients for harmonic and inverted oscillators and study the role of quantum statistical effects in the passage through a parabolic barrier. __________ Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 156, No. 3, pp. 425–443, September, 2008.     

The Link between Stochastic Differential Equations with Non-Markovian Coefficients and Backward Stochastic Partial Differential Equations

In this paper, we conjecture and prove the link between stochastic differential equations with non-Markovian coefficients and nonlinear parabolic backward stochastic partial differential equations, which is an extension of such kind of link in Markovian framework to non-Markovian framework.Different from Markovian framework, where the corresponding partial differential equation is deterministic, the backward stochastic partial differential equation here has a pair of adapted solutions, and thus the link has a much different form. Moreover, two examples are given to demonstrate the applications of the derived link.     

Stability problems for Cantor stochastic differential equations

We consider driftless stochastic differential equations and the diffusions starting from the positive half line. It is shown that the Feller test for explosions gives a necessary and sufficient condition to hold pathwise uniqueness for diffusion coefficients that are positive and monotonically increasing or decreasing on the positive half line and the value at the origin is zero. Then, stability problems are studied from the aspect of Hölder-continuity and a generalized Nakao–Le Gall condition. Comparing the convergence rate of Hölder-continuous case, the sharpness and stability of the Nakao–Le Gall condition on Cantor stochastic differential equations are confirmed. Furthermore, using the Malliavin calculus, we construct a smooth solution to degenerate second order Fokker–Planck equations under weak conditions on the coefficients.     

Detailed analysis of a conservative difference approximation for the time fractional diffusion equation

Diffusion equations that use time fractional derivatives are attractive because they describe a wealth of problems involving non-Markovian Random walks. The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α? (0,1). Developing numerical methods for solving fractional partial differential equations is a new research field and the theoretical analysis of the numerical methods associated with them is not fully developed. In this paper an explicit conservative difference approximation (ECDA) for TFDE is proposed. We give a detailed analysis for this ECDA and generate discrete models of random walk suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation. The stability and convergence of the ECDA for TFDE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique.     

Analytical solutions to Fisher’s equation with time-variable coefficients

This paper provides analytical solutions to the generalized Fisher equation with a class of time varying diffusion coefficients. To accomplish this we use the Painlevé property for partial differential equations as defined by Weiss in 1983 in “The Painlevé property for partial-differential equations”. This was first done for the variable coefficient Fisher’s equation by Ö?ün and Kart in 2007; we build on this work, finding additional solutions with a weaker restriction on the trial solution. We also use the same technique to find solutions to Fisher’s equation with time-dependent coefficients for both diffusion and nonlinear terms. Lastly we compute specific solutions to illustrate their behaviors.     

Analytic solution of a class of fractional differential equations with variable coefficients by operatorial methods

In this note we show the analytic solution of a class of fractional differential equations with variable coefficients by using operatorial methods. Taking inspiration from previous papers by Dattoli et al. [4], [5] and [6] about spectral properties of Laguerre derivative, we here generalize some of their results to fractional evolution equations. Besides that, we have two interesting generalized examples. One is about telegraph equation with time dependent coefficient. The other, that could be of some interest for realistic applications, is the fractional diffusion with a space-dependent diffusion coefficient.     

Analysis of Caughley model with diffusion from mathematical ecology

We provide an analysis in function spaces of the nonlinear semigroup generated by the Caughley model with varied diffusion from mathematical ecology. The global long time asymptotic dynamics of the system of equations are well posed in the sense of an attractor. The behaviour of this attractor in small diffusion coefficients is studied. Two limit problems depending on the stability of the spatial domain in diffusion coefficients are obtained. An adequate scaling of the space variable yields a diffusion coefficients dependent spatial domain. The limit model equations are defined in the complete space of the domain and its diffusion coefficients are unitary. If the domain does not change with the diffusion coefficients, we obtain as a limit problem the system of equations with zero diffusion coefficients and no boundary conditions. The family of attractors in small diffusion coefficients is proved in the Hausdroff semidistance of sets to converge in the uniform topology of continuous functions.     

On the Poincaré theorem with asymptotically periodic coefficients

We consider the case where the Poincaré theorem for difference equations with asymptotically constant coefficients is generalized to systems of difference equations with asymptotically periodic coefficients. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 9, pp. 1262–1267, September, 1998.     

Heavy-tailed fractional Pearson diffusions

We define heavy-tailed fractional reciprocal gamma and Fisher–Snedecor diffusions by a non-Markovian time change in the corresponding Pearson diffusions. Pearson diffusions are governed by the backward Kolmogorov equations with space-varying polynomial coefficients and are widely used in applications. The corresponding fractional reciprocal gamma and Fisher–Snedecor diffusions are governed by the fractional backward Kolmogorov equations and have heavy-tailed marginal distributions in the steady state. We derive the explicit expressions for the transition densities of the fractional reciprocal gamma and Fisher–Snedecor diffusions and strong solutions of the associated Cauchy problems for the fractional backward Kolmogorov equation.     

Integrable Nonautonomous Liénard-Type Equations

We study a family of nonautonomous generalized Liénard-type equations. We consider the equivalence problem via the generalized Sundman transformations between this family of equations and type-I Painlevé–Gambier equations. As a result, we find four criteria of equivalence, which give four integrable families of Liénard-type equations. We demonstrate that these criteria can be used to construct general traveling-wave and stationary solutions of certain classes of diffusion–convection equations. We also illustrate our results with several other examples of integrable nonautonomous Liénard-type equations.     

Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs) under general settings without technical assumptions on the coefficients. For the solution of semi-linear degenerate BSPDE, we first give a proof for its existence and uniqueness, as well as regularity. Then the connection between semi-linear degenerate BSPDEs and forward–backward stochastic differential equations (FBSDEs) is established, which can be regarded as an extension of the Feynman–Kac formula to the non-Markovian framework.     

Time-dependent diffusion operators on <Emphasis Type="Italic">L</Emphasis><Superscript>1</Superscript>

We study the Cauchy problem for time-dependent diffusion operators with singular coefficients on L¹-spaces induced by infinitesimal invariant measures. We give sufficient conditions on the coefficients such that the Cauchy-Problem is well-posed. We construct associated diffusion processes with the help of the theory of generalized Dirichlet forms. We apply our results in particular to construct a large class of Nelson-diffusions that could not been constructed before.     

On the optimal reconstruction of a solution of the Poisson equation

We consider the problem of optimal reconstruction of a solution of the generalized Poisson equation in a bounded domain Q with homogeneous boundary conditions for the case in which the right-hand side of the equation is fuzzy. We assume that right-hand sides of the equations belong to generalized Sobolev classes and finitely many Fourier coefficients of the right-hand sides of the equations are known with some accuracy in the Euclidean metric. We find the optimal reconstruction error and construct a family of optimal reconstruction methods. The problem on the best choice of the coefficients to be measured is solved.     

Correlation structure of time-changed Pearson diffusions

The stochastic solution to diffusion equations with polynomial coefficients is called a Pearson diffusion. If the time derivative is replaced by a distributed order fractional derivative, the stochastic solution is called a distributed order fractional Pearson diffusion. This paper develops a formula for the covariance function of distributed order fractional Pearson diffusion in the steady state, in terms of generalized Mittag-Leffler functions. The correlation function decays like a power law. That formula shows that distributed order fractional Pearson diffusions exhibits long range dependence.     

由分数布朗运动驱动的随机微分方程的比较定理及其应用

本文研究了由分数布朗运动驱动的不同扩散和漂移系数随机微分方程.利用随机微分方程广义样本解的方法,得到了两个比较定理.进一步,给出了他们的应用和一个最优逼近策略.     

Pointwise a priori bounds for a strongly coupled system of reaction–diffusion equations with a balance law

We consider a reaction–diffusion system with a full matrix of diffusion coefficients satisfying a balance law on a bounded domain with no-flux boundary conditions. We demonstrate that global solutions exist for polynomial reaction terms provided some conditions on the diffusion coefficients are satisfied. The proof makes use of comparison results and Solonnikov's estimates concerning linear parabolic equations in Banach spaces. © 1998 B. G. Teubner Stuttgart—John Wiley & Sons, Ltd.     

Global existence for degenerate quadratic reaction–diffusion systems

We consider a class of degenerate reaction–diffusion systems with quadratic nonlinearity and diffusion only in the vertical direction. Such systems can appear in the modeling of photochemical generation and atmospheric dispersion of pollutants. The diffusion coefficients are different for all equations. We study global existence of solutions.     

Harmonic Analysis and Degenerate Diffusions on Euclidean Groups

We take up an idea, introduced by Chirikjian andKyatkin, of analyzing a family of left-invariant diffusion equations on Euclidean groups via the group Fourier transform. These diffusion equations model the probability distribution of the orientation in space of certain polymers in solution, including DNA. We study the evolution equations satisfied by the Fourier coefficients of such a solution. Our main task here is to estimate these Fourier coefficients sufficiently well that one canestimate the error in truncating the group inverse Fourier transform to afinite region.