Diffusion, super-diffusion and coalescence from single step

From the exact single step evolution equation of the two-point correlation function of a particle distribution subjected to a stochastic displacement field \bu(\bx), we derive different dynamical regimes when \bu(\bx) is iterated to build a velocity field. First we show that spatially uncorrelated fields \bu(\bx) lead to both standard and anomalous diffusion equation. When the field \bu(\bx) is spatially correlated each particle performs a simple free Brownian motion, but the trajectories of different particles result to be mutually correlated. The two-point statistical properties of the field \bu(\bx) induce two-point spatial correlations in the particle distribution satisfying a simple but non-trivial diffusion-like equation. These displacement-displacement correlations lead the system to three possible regimes: coalescence, simple clustering and a combination of the two. The existence of these different regimes, in the one-dimensional system, is shown through computer simulations and a simple theoretical argument.Comment: RevTeX (iopstyle) 19 pages, 5 eps-figure

First-passage and first-exit times of a Bessel-like stochastic process

We study a stochastic process $X_t$ related to the Bessel and the Rayleigh processes, with various applications in physics, chemistry, biology, economics, finance and other fields. The stochastic differential equation is $dX_t = (nD/X_t) dt + \sqrt{2D} dW_t$, where $W_t$ is the Wiener process. Due to the singularity of the drift term for $X_t = 0$, different natures of boundary at the origin arise depending on the real parameter $n$: entrance, exit, and regular. For each of them we calculate analytically and numerically the probability density functions of first-passage times or first-exit times. Nontrivial behaviour is observed in the case of a regular boundary.Comment: 15 pages, 6 figures, submitted to Physical Review

Intrinsic Gaussian processes on complex constrained domains

We propose a class of intrinsic Gaussian processes (in-GPs) for interpolation, regression and classification on manifolds with a primary focus on complex constrained domains or irregular shaped spaces arising as subsets or submanifolds of R, R2, R3 and beyond. For example, in-GPs can accommodate spatial domains arising as complex subsets of Euclidean space. in-GPs respect the potentially complex boundary or interior conditions as well as the intrinsic geometry of the spaces. The key novelty of the proposed approach is to utilise the relationship between heat kernels and the transition density of Brownian motion on manifolds for constructing and approximating valid and computationally feasible covariance kernels. This enables in-GPs to be practically applied in great generality, while existing approaches for smoothing on constrained domains are limited to simple special cases. The broad utilities of the in-GP approach is illustrated through simulation studies and data examples

ParMooN - a modernized program package based on mapped finite elements

{\sc ParMooN} is a program package for the numerical solution of elliptic and parabolic partial differential equations. It inherits the distinct features of its predecessor {\sc MooNMD} \cite{JM04}: strict decoupling of geometry and finite element spaces, implementation of mapped finite elements as their definition can be found in textbooks, and a geometric multigrid preconditioner with the option to use different finite element spaces on different levels of the multigrid hierarchy. After having presented some thoughts about in-house research codes, this paper focuses on aspects of the parallelization for a distributed memory environment, which is the main novelty of {\sc ParMooN}. Numerical studies, performed on compute servers, assess the efficiency of the parallelized geometric multigrid preconditioner in comparison with some parallel solvers that are available in the library {\sc PETSc}. The results of these studies give a first indication whether the cumbersome implementation of the parallelized geometric multigrid method was worthwhile or not.Comment: partly supported by European Union (EU), Horizon 2020, Marie Sk{\l}odowska-Curie Innovative Training Networks (ITN-EID), MIMESIS, grant number 67571