Stochastic differential equations (SDE) are used to model many situations including population dynamics, protein kinetics, turbulence, finance, and engineering [5, 6, 1]. Knowing the solution of the SDE in question leads to interesting analysis of the trajectories. Most SDE are unsolvable analytically and other methods must be used to analyze properties of the stochastic process. From the SDE, ...

The Langevin equation approach to the evolution of the velocity distribution for the Brownian particle might leave you uncomfortable. A more formal treatment of this type of problem is given by the Fokker-Planck equation. We can either formulate the question in terms of the evolution of a nonstationary probability distribution from a defined initial condition, or in terms of the evolution of th...

We study the first passage time (FPT) problem in Levy type of anomalous diffusion. Using the recently formulated fractional Fokker-Planck equation, we obtain an analytic expression for the FPT distribution which, in the large passage time limit, is characterized by a universal power law. Contrasting this power law with the asymptotic FPT distribution from another type of anomalous diffusion exe...

Fractional Langevin equation to describe anomalous diffusion. Abstract A Langevin equation with a special type of additive random source is considered. This random force presents a fractional order derivative of white noise, and leads to a power-law time behavior of the mean square displacement of a particle, with the power exponent being noninteger. More general equation containing fractional ...

We find the exact winding number distribution of Riemann-Liouville fractional Brownian motion for large times in two dimensions using the propagator of a free particle. The distribution is similar to the Brownian motion case and it is of Cauchy type. In addition we find the winding number distribution of fractal time process, i.e., time fractional Fokker-Planck equation, in the presence of fini...

This paper is devoted to the grazing collision limit of the inelastic Kac model introduced in [PT04], when the equilibrium distribution function is a heavy-tailed Lévy-type distribution with infinite variance. We prove that solutions in an appropriate domain of attraction of the equilibrium distribution converge to solutions of a Fokker-Planck equation with a fractional diffusion operator.

The anomalous (i.e., non-Gaussian) dynamics of particles subject to a deterministic acceleration and a series of "random kicks" is studied. Based on an extension of the concept of continuous time random walks to position-velocity space, a new fractional equation of the Kramers-Fokker-Planck type is derived. The associated collision operator necessarily involves a fractional substantial derivati...

The master equation of chemical reactions is solved by first approximating it by the Fokker–Planck equation. Then this equation is discretized in the state space and time by a finite volume method. The difference between the solution of the master equation and the discretized Fokker–Planck equation is analyzed. The solution of the Fokker–Planck equation is compared to the solution of the master...

In recent years, several fractional generalizations of the usual Kramers-Fokker-Planck equation have been presented. Using an idea of Fogedby (Fogedby, H. C. Phys. Rev. E 1994, 50, 041103), we show how these equations are related to Langevin equations via the procedure of subordination.