Integro-differential equation for joint probability density in phase space associated with continuous-time random walk

Kwok Sau Fa and K.G. Wang

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 15, 3858-3864

Abstract: We derive an integro-differential equation for the joint probability density function in phase space associated with the continuous-time random walk, with generic waiting time probability density function and external force. This equation permits us to investigate whole diffusion processes covering initial-, intermediate-, and long-time ranges, which can distinguish the evolution details for systems having the same behavior in the long-time limit with different initial- and intermediate-time behaviors. Moreover, we obtained analytic solutions for probability density functions both in velocity and phase spaces, and interesting dynamic behaviors are discovered.

Keywords: Continuous-time random walk; Anomalous diffusion; Probability density function (search for similar items in EconPapers)
Date: 2012
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437112002324
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:15:p:3858-3864

DOI: 10.1016/j.physa.2012.03.013

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().