We study the existence and the uniqueness of a solution to the linear Fokker-Planck equation in a bounded domain of when is a “confinement” vector field. This field acting for instance like the inverse of the distance to the boundary. An illustration of the obtained results is given within the framework of fluid mechanics and polymer flows.
MSC 2010: 26A33, 35R11, 35R60, 35Q84, 60H10 Dedicated to 80-th anniversary of Professor Rudolf GorenfloThere is a well-known relationship between the Itô stochastic differential equations (SDEs) and the associated partial differential equations called Fokker-Planck equations, also called Kolmogorov equations. The Brownian motion plays the role of the basic driving process for SDEs. This paper provides fractional generalizations of the triple relationship between the driving process, corresponding...
We consider an initial and Dirichlet boundary value problem for a fourth-order linear stochastic parabolic equation, in one space dimension, forced by an additive space-time white noise. Discretizing the space-time white noise a modelling error is introduced and a regularized fourth-order linear stochastic parabolic problem is obtained. Fully-discrete approximations to the solution of the regularized problem are constructed by using, for discretization in space, a Galerkin finite element method...
The assessment of vibration characteristics in slender engineering structures, influenced by both deterministic harmonic and stochastic excitation, poses a challenging problem. Due to its complexity, transverse vibration of the structure (relative to the wind direction) is typically modelled using the single-degree-of-freedom van der Pol-type equation. Determining the response probability density function comprises solving the Fokker-Planck equation, a task that generally necessitates the use of...
In this paper, we consider two-scale limits obtained with increasing homogenization periods, each period being an entire multiple of the previous one. We establish that, up to a measure preserving rearrangement, these two-scale limits form a martingale which is bounded: the rearranged two-scale limits themselves converge both strongly in L2 and almost everywhere when the period tends to +∞. This limit, called the Two-Scale Shuffle limit, contains all the information present in all the two-scale...
This paper deals with homogenization of second order divergence form parabolic operators with locally stationary coefficients. Roughly speaking, locally stationary coefficients have two evolution scales: both an almost constant microscopic one and a smoothly varying macroscopic one. The homogenization procedure aims to give a macroscopic approximation that takes into account the microscopic heterogeneities. This paper follows [Probab. Theory Related Fields (2009)] and improves this latter work by...
In this paper we consider the problem of estimating the singular support of the Green’s function of the wave equation by using ambient noise signals recorded by passive sensors. We assume that noise sources emit stationary random signals into the medium which are recorded by sensors. We explain how the cross correlation of the signals recorded by two sensors is related to the Green’s function between the sensors. By looking at the singular support of the cross correlation we can obtain an estimate...
In this work we first focus on the Stochastic Galerkin approximation of the solution u of an elliptic stochastic PDE. We rely on sharp estimates for the decay of the coefficients of the spectral expansion of u on orthogonal polynomials to build a sequence of polynomial subspaces that features better convergence properties compared to standard polynomial subspaces such as Total Degree or Tensor Product. We consider then the Stochastic Collocation method, and use the previous estimates to introduce...
We consider a family of nonlinear stochastic heat equations of the form , where denotes space–time white noise, the generator of a symmetric Lévy process on , and is Lipschitz continuous and zero at 0. We show that this stochastic PDE has a random-field solution for every finite initial measure . Tight a priori bounds on the moments of the solution are also obtained. In the particular case that for some , we prove that if is a finite measure of compact support, then the solution is...
Dans ce travail, nous considérons un opérateur différentiel simple ainsi que des perturbations. Alors que le spectre de l’opérateur non-perturbé est confiné à une droite à l’intérieur du pseudospectre, nous montrons pour les opérateurs perturbés que les valeurs propres se distribuent à l’intérieur du pseudospectre d’après une loi de Weyl.