arXiv subjects

Alexei Chechkin

Publications and source records attributed to Alexei Chechkin.

3 recordsLinked to original sources

arXiv2025

How to simulate L\'evy flights in a steep potential: An explicit splitting numerical scheme

We propose an effective explicit numerical scheme for simulating solutions of stochastic differential equations with confining superlinear drift terms, driven by multiplicative heavy-tailed L\'evy noise. The scheme is designed to prevent explosion and accurately capture all finite moments of the solutions. In the purely Gaussian case, it correctly reproduces moments of sub-Gaussian tails of the solutions. This method is particularly well-suited for approximating statistical moments and other probabilistic characteristics of L\'evy flights in steep potential landscapes.

physics.comp-ph↗

arXiv2014

The BBGKY Hierarchy and Fokker-Planck Equation for Many-Body Dissipative Randomly Driven Systems

By generalizing Bogolyubov's reduced description method, we suggest a formalism to derive kinetic equations for many-body dissipative systems in external stochastic field. As a starting point, we use a stochastic Liouville equation obtained from Hamilton's equations taking dissipation and stochastic perturbations into account. The Liouville equation is then averaged over realizations of the stochastic field by an extension of the Furutsu-Novikov formula to the case of a non-Gaussian field. As the result, a generalization of the classical Bogolyubov-Born-Green-Kirkwood-Yvon (BBGKY) hierarchy is derived. In order to get a kinetic equation for the one-particle distribution function, we use a regular cut off procedure of the BBGKY hierarchy by assuming weak interaction between the particles and weak intensity of the field. Within this approximation we get the corresponding Fokker-Planck equation for the system in a non-Gaussian stochastic field. Two particular cases by assuming either Gaussian statistics of external perturbation or homogeneity of the system are discussed.

cond-mat.stat-mech↗

arXiv2014

Marcus versus Stratonovich for Systems with Jump Noise

The famous It\^o-Stratonovich dilemma arises when one examines a dynamical system with a multiplicative white noise. In physics literature, this dilemma is often resolved in favour of the Stratonovich prescription because of its two characteristic properties valid for systems driven by Brownian motion: (i) it allows physicists to treat stochastic integrals in the same way as conventional integrals, and (ii) it appears naturally as a result of a small correlation time limit procedure. On the other hand, the Marcus prescription [IEEE Trans. Inform. Theory 24, 164 (1978); Stochastics 4, 223 (1981)] should be used to retain (i) and (ii) for systems driven by a Poisson process, L\'evy flights or more general jump processes. In present communication we present an in-depth comparison of the It\^o, Stratonovich, and Marcus equations for systems with multiplicative jump noise. By the examples of areal-valued linear system and a complex oscillator with noisy frequency (the Kubo-Anderson oscillator) we compare solutions obtained with the three prescriptions.

cond-mat.stat-mech↗