Generalized Fokker-Planck equation and its solution for linear non-Markovian Gaussian systems

In this paper we suggest a consistent approach to derivation of generalized Fokker-Planck equation (GFPE) for Gaussian non-Markovian processes with stationary increments. This approach allows us to construct the probability density function (PDF) without a need to solve the GFPE. We employ our metho...

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Veröffentlicht in:	arXiv.org 2011-07
1. Verfasser:	Sliusarenko, O. Yu
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Embedded systems Fokker-Planck equation Gaussian process Markov processes Physics - Statistical Mechanics Probability density functions Variation
Online-Zugang:	Volltext
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