Joint Probability Distributions for a Class of Non-Markovian Processes

Details Joint Probability Distributions for a Class of Non-Markovian Processes Joint Probability Distributions for a Class of Non-Markovian Processes

2004-11-19

arxiv.org/abs/physics/0411179v2

Physical Review E 71, 026101 (2005)

Physics

Fluid Dynamics

13 pages, 1 figure

Scientific paper

10.1103/PhysRevE.71.026101

We consider joint probability distributions for the class of coupled Langevin equations introduced by Fogedby [H.C. Fogedby, Phys. Rev. E 50, 1657 (1994)]. We generalize well-known results for the single time probability distributions to the case of N-time joint probability distributions. It is shown that these probability distribution functions can be obtained by an integral transform from distributions of a Markovian process. The integral kernel obeys a partial differential equation with fractional time derivatives reflecting the non-Markovian character of the process.

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