Forward and backward equations for a nonmarkovian process: A cumulant approach

J.M. Sancho and F. Sagués

Physica A: Statistical Mechanics and its Applications, 1985, vol. 132, issue 2, 489-503

Abstract: This paper deals with nonmarkovian processes induced by colored noise. The forward equations of motion for both the single and joint probability distribution functions are derived. At the same time, the backward equation for the probability density of a nonmarkovian process is for the first time deduced. These results are obtained by means of the systematic use of the ordered cumulant technique.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:132:y:1985:i:2:p:489-503

DOI: 10.1016/0378-4371(85)90023-8

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