Joint Probability Distributions for a Class of Non-Markovian Processes
Fluid Dynamics
2009-11-10 v2 Data Analysis, Statistics and Probability
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.
Cite
@article{arxiv.physics/0411179,
title = {Joint Probability Distributions for a Class of Non-Markovian Processes},
author = {A. Baule and R. Friedrich},
journal= {arXiv preprint arXiv:physics/0411179},
year = {2009}
}
Comments
13 pages, 1 figure