Finite dimensional Fokker-Planck equations for continuous time random walk limits

DOI10.1016/J.SPA.2016.08.008MaRDI QIDQ529426zbMATH OpenOpenAlexFDO

Authors Ofer Busani

Publication date 18 May 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.01150

zbMATH Keywords

anomalous diffusioncontinuous-time random walk limitsfractional Fokker-Planck equation

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) Functional limit theorems; invariance principles (60F17) Sums of independent random variables; random walks (60G50) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: Continuous Time Random Walk(CTRW) is a model where particle's jumps in space are coupled with waiting times before each jump. A Continuous Time Random Walk Limit(CTRWL) is obtained by a limit procedure on a CTRW and can be used to model anomalous diffusion. The distribution $pleft(dx,tight)$ of a CTRWL $X_t$ satisfies a Fractional Fokker-Planck Equation(FFPE). Since CTRWLs are usually not Markovian, their one dimensional FFPE is not enough to completely define them. In this paper we find the FFPEs of the distribution of $X_t$ at multiple times , i.e. the distribution of the random vector $left(X_{t_1},\mathrm{...},X_{t_n}ight)$ for $t_1<\mathrm{...}<t_n$ for a large class of CTRWLs. This allows us to define CTRWLs by their finite dimensional FFPEs.

Recommendations

• Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
• Semi-Markov approach to continuous time random walk limit processes
• Limit theorem for continuous-time random walks with two time scales
• Fractional dynamics at multiple times
• Triangular array limits for continuous time random walks

Cites work

• Aging uncoupled continuous time random walk limits
• Feynman-Kac equation for anomalous processes with space- and time-dependent forces
• Fractional governing equations for coupled random walks
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Inverse stable subordinators
• Lagging and leading coupled continuous time random walks, renewal times and their joint limits
• Limit theorems for coupled continuous time random walks.
• Multi-point distribution function for the continuous time random walk
• Semi-Markov approach to continuous time random walk limit processes
• Space-time fractional derivative operators
• Stochastic models for fractional calculus

Cited in

(5)

• Fokker-Planck and Kolmogorov backward equations for continuous time random walk scaling limits
• Continuous time random walks in finite domains and general boundary conditions: some formal considerations
• Semi-Markov approach to continuous time random walk limit processes
• A semi-Markov algorithm for continuous time random walk limit distributions
• Fleming-Viot particle system driven by a random walk on \(\mathbb {N}\)

This page was built for publication: Finite dimensional Fokker-Planck equations for continuous time random walk limits

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q529426)