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

DOI10.1016/J.SPA.2016.08.008zbMATH Open1364.60040arXiv1510.01150OpenAlexW2259745300MaRDI QIDQ529426FDOQ529426

Authors: Ofer Busani 

Publication date: 18 May 2017

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

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.

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

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zbMATH Keywords

anomalous diffusionfractional Fokker-Planck equationcontinuous-time random walk limits

Mathematics Subject Classification ID

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

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Cited In (5)

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

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