In this paper, we develop and analyze numerical methods for high dimensional Fokker-Planck equations by leveraging generative models from deep learning. Our starting point is a formulation of the equation as system ordinary differential (ODEs) on finite-dimensional parameter space with parameters inherited such normalizing flows. We call ODEs neural parametric equations. The fact that can be vi...

We study a smoothing effect of a non-linear degenerate parabolic problem, the Vlasov-Poisson-Fokker-Planck system, in three dimensions. We prove that a solution gives rise actually to very smooth macroscopic density and force field for positive time. This is obtained by analyzing the effect of the Fokker-Planck kernel on the force term in the Vlasov equation and using classical convolution ineq...

Physical and chemical stochastic processes described by the master equation are investigated. The system-size expansion, called the Ω-expansion, transforms the master equation to the corresponding Fokker-Planck equation. In this paper, we examine the entropy production for both the master equation and the corresponding Fokker-Planck equation. For the master equation, the exact expression of the...

We show that the increments of generalized Wiener process, useful to describe nonGaussian white noise sources, have the properties of infinitely divisible random processes. Using functional approach and the new correlation formula for non-Gaussian white noise we derive directly from Langevin equation, with such a random source, the Kolmogorov’s equation for Markovian non-Gaussian process. From ...

The chemical Fokker-Planck equation and the corresponding chemical Langevin equation are commonly used approximations of the chemical master equation. These equations are derived from an uncontrolled, second-order truncation of the Kramers-Moyal expansion of the chemical master equation and hence their accuracy remains to be clarified. We use the system-size expansion to show that chemical Fokk...

In this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drift. We apply two approaches: The Euler-Maruyama method and the Fokker-Planck equation and show that a candidate density function based on the Euler-Maruyama method approximates a candidate density function based on the stationary Fokker-Planck equation. Furthermore, we introduce a smooth function ...

In this work we construct algebraic equation for elements of spectrum of linearized Fokker Planck differential operator for incompressible fluid. We calculate roots of this equation using simple numeric method. For all these roots real part is positive, that is corresponding solutions are damping. Eigenfunctions of linearized Fokker Planck differential operator for incompressible fluid are expr...