Relationship between a non-Markovian process and Fokker-Planck equation

DOI10.1016/J.PHYSLETA.2006.06.063zbMATH Open1193.82029arXivcond-mat/0603252OpenAlexW2067366940MaRDI QIDQ942571FDOQ942571

Authors: Knud Zabrocki, Svetlana Tatur, S. Trimper, Reinhard Mahnke 

Publication date: 5 September 2008

Published in: Physics Letters. A (Search for Journal in Brave)

Abstract: We demonstrate the equivalence of a Non--Markovian evolution equation with a linear memory--coupling and a Fokker--Planck equation (FPE). In case the feedback term offers a direct and permanent coupling of the current probability density to an initial distribution, the corresponding FPE offers a non-trivial drift term depending itself on the diffusion parameter. As the consequence the deterministic part of the underlying Langevin equation is likewise determined by the noise strength of the stochastic part. This memory induced stochastic behavior is discussed for different initial distributions. The analytical calculations are supported by numerical results.

Full work available at URL: https://arxiv.org/abs/cond-mat/0603252

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Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Irreversible thermodynamics, including Onsager-Machlup theory (82C35)

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Cited In (7)

• Kinetic equation for stochastic vector bundles
• On a random walk with memory and its relation with Markovian processes
• Non-Markovian process with variable memory functions
• Local evolution equations for non-Markovian processes
• Marginal distribution of non-Markovian stochastic processes with internal states
• Fokker-Planck description for a linear delayed Langevin equation with additive Gaussian noise
• Connection between the Fokker-Planck-Kolmogorov and nonlinear Langevin equations

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