dorsal/arxiv
View SchemaJoint Probability Distributions for a Class of Non-Markovian Processes
| Authors | A. Baule, R. Friedrich |
|---|---|
| Categories | |
| ArXiv ID | physics/0411179 |
| URL | https://arxiv.org/abs/physics/0411179 |
| DOI | 10.1103/PhysRevE.71.026101 |
| Journal | Physical Review E 71, 026101 (2005) |
| License | http://arxiv.org/licenses/nonexclusive-distrib/1.0/ |
Abstract
We consider joint probability distributions for the class of coupled Langevin equations introduced by Fogedby [H.C. Fogedby, Phys. Rev. E 50, 1657 (1994)]. We generalize well-known results for the single time probability distributions to the case of N-time joint probability distributions. It is shown that these probability distribution functions can be obtained by an integral transform from distributions of a Markovian process. The integral kernel obeys a partial differential equation with fractional time derivatives reflecting the non-Markovian character of the process.
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"abstract": "We consider joint probability distributions for the class of coupled Langevin\nequations introduced by Fogedby [H.C. Fogedby, Phys. Rev. E 50, 1657 (1994)].\nWe generalize well-known results for the single time probability distributions\nto the case of N-time joint probability distributions. It is shown that these\nprobability distribution functions can be obtained by an integral transform\nfrom distributions of a Markovian process. The integral kernel obeys a partial\ndifferential equation with fractional time derivatives reflecting the\nnon-Markovian character of the process.",
"arxiv_id": "physics/0411179",
"authors": [
"A. Baule",
"R. Friedrich"
],
"categories": [
"physics.flu-dyn",
"physics.data-an"
],
"doi": "10.1103/PhysRevE.71.026101",
"journal_ref": "Physical Review E 71, 026101 (2005)",
"license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
"title": "Joint Probability Distributions for a Class of Non-Markovian Processes",
"url": "https://arxiv.org/abs/physics/0411179"
},
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