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Stochastic ordinary and partial differential equations generalize the concepts of ordinary and partial differential equations to the setting where the unknown is a stochastic process.

2 votes
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569 views

Stationary distribution of overdamped Langevin dynamics

Consider the over damped Langevin dynamics: $d X_{t} = d B_{t} - \nabla U(X_{t}) dt $ on $\mathbb{R}^{d}$ where $B_t$ is a standard Brownian motion. On pages 29 and 30 of the following book Roye …
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Singular direction of a particle system

Consider a system of n-sdes in $\mathbb{R}$ ( the formula is not important). The corresponding particle system $X(t)=(X_{1}(t),X_{2}(t),...,X_{n}(t))$ lives in $\mathbb{R}^{n}$ and assume that fo …