Vlasov Equation Research Articles

Multilevel importance sampling for rare events associated with the McKean–Vlasov equation

AbstractThis work combines multilevel Monte Carlo with importance sampling to estimate rare-event quantities that can be expressed as the expectation of a Lipschitz observable of the solution to a broad class of McKean–Vlasov stochastic differential equations. We extend the double loop Monte Carlo (DLMC) estimator introduced in this context in Ben Rached et al. (Stat Comput, 2024. https://doi.org/10.1007/s11222-024-10497-3) to the multilevel setting. We formulate a novel multilevel DLMC estimator and perform a comprehensive cost-error analysis yielding new and improved complexity results. Crucially, we devise an antithetic sampler to estimate level differences guaranteeing reduced computational complexity for the multilevel DLMC estimator compared with the single-level DLMC estimator. To address rare events, we apply the importance sampling scheme, obtained via stochastic optimal control in Ben Rached et al. (2024), over all levels of the multilevel DLMC estimator. Combining importance sampling and multilevel DLMC reduces computational complexity by one order and drastically reduces the associated constant compared to the single-level DLMC estimator without importance sampling. We illustrate the effectiveness of the proposed multilevel DLMC estimator on the Kuramoto model from statistical physics with Lipschitz observables, confirming the reduced complexity from $${\mathcal {O}(\textrm{TOL}_{\textrm{r}}^{-4})}$$ O ( TOL r - 4 ) for the single-level DLMC estimator to $${\mathcal {O}(\textrm{TOL}_{\textrm{r}}^{-3})}$$ O ( TOL r - 3 ) while providing a feasible estimate of rare-event quantities up to prescribed relative error tolerance $$\textrm{TOL}_{\textrm{r}}$$ TOL r .

Global stability for McKean–Vlasov equations on large networks

Abstract We investigate the mean-field dynamics of stochastic McKean differential equations with heterogeneous particle interactions described by large network structures. To express a wide range of graphs, from dense to sparse structures, we incorporate the recently developed graph limit theory of graphops into the limiting McKean–Vlasov equations. Global stability of the splay steady state is proven via a generalised entropy method, leading to explicit graph structure-dependent decay rates. We highlight the robustness of the entropy approach by extending the results to the closely related Sakaguchi–Kuramoto model with intrinsic frequency distributions. We also present central examples of random graphs, such as power law graphs and the spherical graphop, and analyse the limitations of the applied methodology.

STABILITY ANALYSIS FOR STOCHASTIC MCKEAN–VLASOV EQUATION

Abstract The pth ( $p\geq 1$ ) moment exponential stability, almost surely exponential stability and stability in distribution for stochastic McKean–Vlasov equation are derived based on some distribution-dependent Lyapunov function techniques.

Stability, uniqueness and existence of solutions to McKean–Vlasov SDEs: a multidimensional Yamada–Watanabe approach

We establish stability and pathwise uniqueness of solutions to Wiener noise driven McKean–Vlasov equations with random non-Lipschitz continuous coefficients. In the deterministic case, we also obtain the existence of unique strong solutions. By using our approach, which is based on an extension of the Yamada–Watanabe ansatz to the multidimensional setting and which does not rely on the construction of Lyapunov functions, we prove first moment and pathwise exponential stability. Furthermore, Lyapunov exponents are computed explicitly.

On optimal control of coupled mean-field forward-backward stochastic equations

Abstract We consider a control problem for a mean-field coupled forward-backward stochastic differential equations, called also McKean–Vlasov equation (MF-FBSDE). For this type of equations, the coefficients depend not only on the state of the system, but also on its marginal distributions. They arise naturally in mean-field control problems and mean-field games. We consider the relaxed control problem where admissible controls are measure-valued processes. We prove the existence of a relaxed optimal control by using a suitable form of Skorokhod representation theorem and Jakubowski’s topology, on the space of càdlàg functions. We use martingale measure to define the relaxed state process. Our results extend to MF-FBSDEs those already known for forward and backward stochastic equations of Itô type.

Global Weak Solutions to a Fluid-particle System of an Incompressible Non-Newtonian Fluid and the Vlasov Equation

Global Weak Solutions to a Fluid-particle System of an Incompressible Non-Newtonian Fluid and the Vlasov Equation

On a Vlasov equation model for two-phase fluid flow

We consider the problem of water–air two-phase flow, which occurs during water aeration by air injection. We present and analyze a new model incorporating a nonlocal boundary condition, integrating the effect of the air phase through a source term applied to the water phase. This term is described using a kinetic approach based on the Vlasov equation. A numerical study is conducted, and numerical experiments are presented to demonstrate the effectiveness of the presented model

A hybrid Eulerian-Lagrangian Vlasov method for nonlinear wave-particle interaction in weakly inhomogeneous magnetic field

We present a hybrid Eulerian-Lagrangian (HEL) Vlasov method for nonlinear resonant wave-particle interactions in weakly inhomogeneous magnetic field. The governing Vlasov equation is derived from a recently proposed resonance tracking Hamiltonian theory. It gives the evolution of the distribution function with a scale-separated Hamiltonian that contains the fast-varying coherent wave-particle interaction and slowly-varying motion about the resonance frame of reference. The hybrid scheme solves the fast-varying phase space evolution on Eulerian grid with an adaptive time step and then advances the slowly-varying dynamics by Lagrangian method along the resonance trajectory. We apply the HEL method to study the frequency chirping of whistler-mode chorus wave in the magnetosphere and the self-consistent simulations reproduce the chirping chorus wave and give high-resolution phase space dynamics of energetic particles at low computational cost. The scale-separated HEL approach could provide additional insights of the wave instabilities and wave-particle nonlinear coherence compared to the conventional Vlasov and particle-in-cell methods.

Stability, Uniqueness and Existence of Solutions to McKean–Vlasov Stochastic Differential Equations in Arbitrary Moments

We deduce stability and pathwise uniqueness for a McKean–Vlasov equation with random coefficients and a multidimensional Brownian motion as driver. Our analysis focuses on a non-Lipschitz continuous drift and includes moment estimates for random Itô processes that are of independent interest. For deterministic coefficients, we provide unique strong solutions even if the drift fails to be of affine growth. The theory that we develop rests on Itô’s formula and leads to pth moment and pathwise exponential stability for p≥2\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$p\\ge 2$$\\end{document} with explicit Lyapunov exponents.

A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models

Motivated by the challenges related to the calibration of financial models, we consider the problem of numerically solving a singular McKean–Vlasov equation dXt=σ(t,Xt)XtvtE[vt|Xt]dWt,\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$ d X_{t}= \\sigma (t,X_{t}) X_{t} \\frac{\\sqrt{v}_{t}}{\\sqrt{\\mathbb{E}[v_{t}|X_{t}]}}dW_{t}, $$\\end{document} where W\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$W$\\end{document} is a Brownian motion and v\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$v$\\end{document} is an adapted diffusion process. This equation can be considered as a singular local stochastic volatility model. While such models are quite popular among practitioners, its well-posedness has unfortunately not yet been fully understood and in general is possibly not guaranteed at all. We develop a novel regularisation approach based on the reproducing kernel Hilbert space (RKHS) technique and show that the regularised model is well posed. Furthermore, we prove propagation of chaos. We demonstrate numerically that a thus regularised model is able to perfectly replicate option prices coming from typical local volatility models. Our results are also applicable to more general McKean–Vlasov equations.

A generalized Dean–Kawasaki equation for an interacting Brownian gas in a partially absorbing medium

The Dean–Kawasaki (DK) equation is a stochastic partial differential equation (SPDE) for the global density ρ = N − 1 ∑ j = 1 N δ ( x − X j ( t ) ) of a gas of N over-damped Brownian particles, where X j ( t ) is the position of the j th particle. In the thermodynamic limit N → ∞ with weak pairwise interactions, the expectation ⟨ ρ ⟩ with respect to the white noise processes converges in distribution to the solution of a McKean–Vlasov (MV) equation. In this article, we use an encounter-based approach to derive a generalized DK equation for an interacting Brownian gas on the half-line with a partially absorbing boundary at x = 0 . Each particle is independently absorbed when its local time L j ( t ) at x = 0 exceeds a random threshold ℓ ^ j . The global density is now summed over the set of particles that have not yet been absorbed, and expectations are taken with respect to the Gaussian noise and the random thresholds ℓ ^ j . Assuming the DK equation has a well-defined mean-field limit, we derive the corresponding MV equation on the half-line. We illustrate the theory by (i) analysing stationary solutions for a Curie–Weiss (quadratic) interaction potential and a totally reflecting boundary; and (ii) calculating the effective rate of particle loss in the weak absorption limit. Extensions to finite intervals and partially absorbing traps are also considered.

Anti-symmetric and positivity preserving formulation of a spectral method for Vlasov-Poisson equations

We analyze the anti-symmetric properties of a spectral discretization for the one-dimensional Vlasov-Poisson equations. The discretization is based on a spectral expansion in velocity with the symmetrically weighted Hermite basis functions, central finite differencing in space, and an implicit Runge Kutta integrator in time. The proposed discretization preserves the anti-symmetric structure of the advection operator in the Vlasov equation, resulting in a stable numerical method. We apply such discretization to two formulations: the canonical Vlasov-Poisson equations and their continuously transformed square-root representation. The latter preserves the positivity of the particle distribution function. We derive analytically the conservation properties of both formulations, including particle number, momentum, and energy, which are verified numerically on the following benchmark problems: manufactured solution, linear and nonlinear Landau damping, two-stream instability, bump-on-tail instability, and ion-acoustic wave.

Local clustering of relic neutrinos: comparison of kinetic field theory and the Vlasov equation

Gravitational clustering in our cosmic vicinity is expected to lead to an enhancement of the local density of relic neutrinos. We derive expressions for the neutrino density, using a perturbative approach to kinetic field theory and perturbative solutions of the Vlasov equation up to second order. Our work reveals that both formalisms give exactly the same results and can thus be considered equivalent. Numerical evaluation of the local relic neutrino density at first and second order provides some fundamental insights into the frequently applied approach of linear response to neutrino clustering (also known as the Gilbert equation). Against the naive expectation, including the second-order contribution does not lead to an improvement of the prediction for the local relic neutrino density but to a dramatic overestimation. This is because perturbation theory breaks down in a momentum-dependent fashion and in particular for densities well below unity.

Solving Vlasov Equation with Neural Networks

Solving Vlasov Equation with Neural Networks

Вихрова октупольна мода у кінетичній моделі колективних збуджень в ядрах

The nature of a new isoscalar octupole resonance found within a kinetic model based on the Vlasov equation for finite Fermi systems with moving surfaces is studied. It is shown that this octupole resonance is due to dynamic effects of the nuclear surface, like the low-energy isoscalar dipole resonance (vortex dipole mode) observed in heavy nuclei. It is found that the velocity field associated with the new octupole resonance has a vortex character in the surface region of the nuclear liquid and, moreover, the vortex motion of nucleons is fragmented into three areas near the nuclear surface. At the same time, the velocity field associated with the high-energy octupole resonance found within our kinetic model displays an octupole deformation form and includes a compression within the nuclear fluid, which is consistent with the corresponding quantum calculations in the random phase approximation.

Quantized tensor networks for solving the Vlasov–Maxwell equations

The Vlasov–Maxwell equations provide an ab initio description of collisionless plasmas, but solving them is often impractical because of the wide range of spatial and temporal scales that must be resolved and the high dimensionality of the problem. In this work, we present a quantum-inspired semi-implicit Vlasov–Maxwell solver that uses the quantized tensor network (QTN) framework. With this QTN solver, the cost of grid-based numerical simulation of size $N$ is reduced from $O(N)$ to $O(\text {poly}(D))$ , where $D$ is the ‘rank’ or ‘bond dimension’ of the QTN and is typically set to be much smaller than $N$ . We find that for the five-dimensional test problems considered here, a modest $D=64$ appears to be sufficient for capturing the expected physics despite the simulations using a total of $N=2^{36}$ grid points, which would require $D=2^{18}$ for full-rank calculations. Additionally, we observe that a QTN time evolution scheme based on the Dirac–Frenkel variational principle allows one to use somewhat larger time steps than prescribed by the Courant–Friedrichs–Lewy constraint. As such, this work demonstrates that the QTN format is a promising means of approximately solving the Vlasov–Maxwell equations with significantly reduced cost.

From many-body quantum dynamics to the Hartree–Fock and Vlasov equations with singular potentials

In a combined mean-field and semiclassical regime, we consider the time evolution of N fermions interacting through singular pair interaction potentials of the form \pm |x-y|^{-a} , which includes the Coulomb and gravitational interactions. We prove that the many-body dynamics of mixed states are well approximated by solutions of the Hartree–Fock and Vlasov equations in terms of Schatten norms. The errors in these approximations are expressed in terms of the expected number of particles, N , and the Planck constant, h . For cases where a\in(0,1/2) , we obtain local-in-time results when N^{-1/2}\ll h \leq N^{-1/3} . Notably, this leads to the derivation of the Vlasov equation with singular potentials. For cases where a\in[1/2,1] , our results hold only within a small time scale or require an N -dependent cut-off. A fundamental ingredient in our analysis is the propagation of regularity for solutions to the Hartree–Fock equation uniformly in the Planck constant, which holds for a\in(0,1] .

Violent relaxation in one-dimensional self-gravitating system: Deviation from the Vlasov limit due to finite-N effects.

We investigate the effect of a finite particle number N on the violent relaxation leading to the quasistationary state (QSS) in a one-dimensional self-gravitating system. From the theoretical point of view, we demonstrate that the local Poissonian fluctuations embedded in the initial state give rise to an additional term proportional to 1/N in the Vlasov equation. This term designates the strength of the local mean-field variations by fluctuations. Because it is of the mean-field origin, we interpret it differently from the known collision term in the way that it effects the violent relaxation stage. Its role is to deviate the distribution function from the Vlasov limit, in the collisionless manner, at a rate proportional to 1/N while the violent relaxation is progressing. This hypothesis is tested by inspecting the QSSs in simulations of various N. We observe that the core phase-space density can exceed the limiting density deduced from the Vlasov equationand its deviation degree is in accordance with the 1/N estimate. This indicates the deviation from the standard mean-field approximation of the violent relaxation process by that 1/N term. In conclusion, the finite-N effect has a significant contribution to the QSS apart from that it plays a role in the collisional stage that takes place long after. The conventional collisionless Vlasov equationmight not be able to describe the violent relaxation of a system of particles properly without the correction term of the local finite-N fluctuations.

Modified Lawson Methods for Vlasov Equations

Modified Lawson Methods for Vlasov Equations

Advanced fuel fusion, phase space engineering, and structure-preserving geometric algorithms

Non-thermal advanced fuel fusion trades the requirement of a large amount of recirculating tritium in the system for that of large recirculating power. Phase space engineering technologies utilizing externally injected electromagnetic fields can be applied to meet the challenge of maintaining non-thermal particle distributions at a reasonable cost. The physical processes of the phase space engineering are studied from a theoretical and algorithmic perspective. It is emphasized that the operational space of phase space engineering is limited by the underpinning symplectic dynamics of charged particles. The phase space incompressibility according to the Liouville theorem is just one of many constraints, and Gromov's non-squeezing theorem determines the minimum footprint of the charged particles on every conjugate phase space plane. In this sense and level of sophistication, the mathematical abstraction of phase space engineering is symplectic topology. To simulate the processes of phase space engineering, such as the Maxwell demon and electromagnetic energy extraction, and to accurately calculate the minimum footprints of charged particles, recently developed structure-preserving geometric algorithms can be used. The family of algorithms conserves exactly, on discretized spacetime, symplecticity and thus incompressibility, non-squeezability, and symplectic capacities. The algorithms apply to the dynamics of charged particles under the influence of external electromagnetic fields as well as the charged particle–electromagnetic field system governed by the Vlasov–Maxwell equations.