On distributions of functionals of anomalous diffusion paths

Details On distributions of functionals of anomalous diffusion paths On distributions of functionals of anomalous diffusion paths

2010-04-06

arxiv.org/abs/1004.0943v2

Journal of Statistical Physics 141, 1071-1092 (2010)

Physics

Condensed Matter

Statistical Mechanics

25 pages, 4 figures

Scientific paper

10.1007/s10955-010-0086-6

Functionals of Brownian motion have diverse applications in physics, mathematics, and other fields. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, which is a Schrodinger equation in imaginary time. In recent years there is a growing interest in particular functionals of non-Brownian motion, or anomalous diffusion, but no equation existed for their PDF. Here, we derive a fractional generalization of the Feynman-Kac equation for functionals of anomalous paths based on sub-diffusive continuous-time random walk. We also derive a backward equation and a generalization to Levy flights. Solutions are presented for a wide number of applications including the occupation time in half space and in an interval, the first passage time, the maximal displacement, and the hitting probability. We briefly discuss other fractional Schrodinger equations that recently appeared in the literature.

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