Green function for a non-Markovian Fokker-Planck equation: Comb-model and anomalous diffusion

Fractional Fokker–Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises

The Fokker–Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical and empirical reasons to consider similar equations driven by strongly non-Gaussian noises. In particular, they yield strongly non-Gaussian anomalous diffusion which seems to be relevant in different domains of Physics....

Generalized Wiener Process and Kolmogorov’s Equation for Diffusion Induced by Non-gaussian Noise Source

We show that the increments of generalized Wiener process, useful to describe nonGaussian white noise sources, have the properties of infinitely divisible random processes. Using functional approach and the new correlation formula for non-Gaussian white noise we derive directly from Langevin equation, with such a random source, the Kolmogorov’s equation for Markovian non-Gaussian process. From ...

Microscopic theory of anomalous diffusion based on particle interactions.

We present a master equation formulation based on a Markovian random walk model that exhibits subdiffusion, classical diffusion, and superdiffusion as a function of a single parameter. The nonclassical diffusive behavior is generated by allowing for interactions between a population of walkers. At the macroscopic level, this gives rise to a nonlinear Fokker-Planck equation. The diffusive behavi...

Iterative methods for solving non linear Fokker-Planck equation

Local evolution equations for non-Markovian processes

A Fokker-Planck equation approach for the treatment of non-Markovian stochastic processes is proposed. The approach is based on the introduction of fictitious trajectories sharing with the real ones their local structure and initial conditions. Different statistical quantities are generated by different construction rules for the trajectories, which coincide only in the Markovian case. The meri...