A century after the celebrated Langevin paper [C.R. Seances Acad. Sci. 146, 530 (1908)] we study a Langevin-type approach to subdiffusion in the presence of time-dependent force fields. Using a subordination technique, we construct rigorously a stochastic Langevin process, whose probability density function is equal to the solution of the fractional Fokker-Planck equation with a time-dependent ...

The functional method to derive the fractional Fokker-Planck equation for probability distribution from the Langevin equation with Lévy stable noise is proposed. For the Cauchy stable noise we obtain the exact stationary probability density function of Lévy flights in different smooth potential profiles. We find confinement of the particle in the superdiffusion motion with a bimodal stationary ...

Analysis and Implementation of Numerical Methods for Simulating Dilute Polymeric Fluids David Knezevic Doctor of Philosophy Balliol College Michaelmas Term 2008 In this thesis we develop, analyse and implement a number of numerical methods for simulating dilute polymeric fluids. We use a well-known model in which the polymeric fluid is represented by a suspension of dumbbells in a Newtonian sol...

This paper presents an application of multi-scale finite element methods to the solution of the multi-dimensional Fokker–Planck equation. The Fokker–Planck, or forward Kolmogorov, equation is a degenerate convective–diffusion equation arising in Markov-Process theory. It governs the evolution of the transition probability density function of the response of a broad class of dynamical systems dr...

The present Note establishes the self-averaging, radiative transfer limit for the two-frequency Wigner distribution for classical waves in random media. Depending on the ratio of the wavelength to the correlation length the limiting equation is either a Boltzmann-like integral equation or a Fokker–Planck-like differential equation in the phase space. The limiting equation is used to estimate th...

The non-linear Fokker-Planck equation or Kolmogorov forward equation is currently successfully applied for deep analysis of irreversibility and it gives an excellent approximation near the free energy minimum, just as Boltzmann’s definition of entropy follows from finding the maximum entropy state. A connection to Fokker-Planck dynamics and the free energy functional is presented and discussed—...

The present note establishes the self-averaging, radiative transfer limit for the twofrequency Wigner distribution for classical waves in random media. Depending on the ratio of the wavelength to the correlation length the limiting equation is either a Boltzmann-like integral equation or a Fokker-Planck-like differential equation in the phase space. The limiting equation is used to estimate thr...

We prove that the solution of the Vlasov-Fokker-Planck equation converges to the unique stationary solution with same mass as time tends to infinity. The same result holds in the repulsive coulombic case for the Vlasov-Poisson-Fokker-Planck system; the newtonian attractive case is also studied. We establish positive and negative answers to the question of existence of a stationary solution for ...

This is the third paper in a series concerning the study of steady states of a Fokker-Planck equation in a general domain in R with Lp̄loc drift term and W 1,p̄ loc diffusion term for any p̄ > n. In this paper, we give some existence results of stationary measures of the Fokker-Planck equation under Lyapunov conditions which allow the degeneracy of diffusion.