Fractional dynamics from the ordinary Langevin equation

Details Fractional dynamics from the ordinary Langevin equation Fractional dynamics from the ordinary Langevin equation

2011-11-14

arxiv.org/abs/1111.3283v1

Phys. Rev. E 67, 021111 (2003)

Physics

Condensed Matter

Statistical Mechanics

6 pages, 2 figures

Scientific paper

10.1103/PhysRevE.67.021111

We consider the usual Langevin equation depending on an internal time. This parameter is substituted by a first passage time of a self-similar Markov process. Then the Gaussian process is parent, and the hitting time process is directing. The probability to find the resulting process at the real time is defined by the integral relationship between the probability densities of the parent and directing processes. The corresponding master equation becomes the fractional Fokker-Planck equation. We show that the resulting process has non-Markovian properties, all its moments are finite, the fluctuation-dissipation relation and the H-theorem hold.

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