Feynman-Kac equation for anomalous processes with space- and time-dependent forces

DOI10.1088/1751-8121/AA5A97zbMATH Open1368.82021arXiv1701.01641OpenAlexW3102247295MaRDI QIDQ5267834FDOQ5267834

Adrian Baule, Andrea Cairoli

Publication date: 13 June 2017

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: Functionals of a stochastic process Y(t) model many physical time-extensive observables, e.g. particle positions, local and occupation times or accumulated mechanical work. When Y(t) is a normal diffusive process, their statistics are obtained as the solution of the Feynman-Kac equation. This equation provides the crucial link between the expected values of diffusion processes and the solutions of deterministic second-order partial differential equations. When Y(t) is an anomalous diffusive process, generalizations of the Feynman-Kac equation that incorporate power-law or more general waiting time distributions of the underlying random walk have recently been derived. A general representation of such waiting times is provided in terms of a L'evy process whose Laplace exponent is related to the memory kernel appearing in the generalized Feynman-Kac equation. The corresponding anomalous processes have been shown to capture nonlinear mean square displacements exhibiting crossovers between different scaling regimes, which have been observed in biological systems like migrating cells or diffusing macromolecules in intracellular environments. However, the case where both space- and time-dependent forces drive the dynamics of the generalized anomalous process has not been solved yet. Here, we present the missing derivation of the Feynman-Kac equation in such general case by using the subordination technique. Furthermore, we discuss its extension to functionals explicitly depending on time, which are relevant for the stochastic thermodynamics of anomalous diffusive systems. Exact results on the work fluctuations of a simple non-equilibrium model are obtained. In this paper we also provide a pedagogical introduction to L'evy processes, semimartingales and their associated stochastic calculus, which underlie the mathematical formulation of anomalous diffusion as a subordinated process.

Full work available at URL: https://arxiv.org/abs/1701.01641

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zbMATH Keywords

stochastic processesanomalous diffusionstochastic thermodynamicsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fokker-Planck equations (35Q84) Statistical thermodynamics (82B30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

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Cited In (14)

• Langevin picture of subdiffusion in nonuniformly expanding medium
• Langevin picture of subdiffusive particles under the joint influence of an expanding medium and an external constant force
• Numerical algorithms of the two-dimensional Feynman-Kac equation for reaction and diffusion processes
• Feynman-Kac equation for Brownian non-Gaussian polymer diffusion
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• Subdiffusion in the presence of reactive boundaries: a generalized Feynman-Kac approach
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