Non-Markovian stochastic evolution equations

G. Costanza

Physica A: Statistical Mechanics and its Applications, 2014, vol. 402, issue C, 224-235

Abstract: Non-Markovian continuum stochastic and deterministic equations are derived from a set of discrete stochastic and deterministic evolution equations. Examples are given of discrete evolution equations whose updating rules depend on two or more previous time steps. Among them, the continuum stochastic evolution equation of the Newton second law, the stochastic evolution equation of a wave equation, the stochastic evolution equation for the scalar meson field, etc. are obtained as special cases. Extension to systems of evolution equations and other extensions are considered and examples are given. The concept of isomorphism and almost isomorphism are introduced in order to compare the coefficients of the continuum evolution equations of two different smoothing procedures that arise from two different approaches. Usually these discrepancies arising from two sources: On the one hand, the use of different representations of the generalized functions appearing in the models and, on the other hand, the different approaches used to describe the models. These new concept allows to overcome controversies that were appearing during decades in the literature.

Keywords: Non-Markovian stochastic evolution equations; Langevin-type equations (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437114000508
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:402:y:2014:i:c:p:224-235

DOI: 10.1016/j.physa.2014.01.038

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 ().