کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977895 | 933220 | 2008 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Non-Markovian diffusion equations and processes: Analysis and simulations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Non-Markovian diffusion equations and processes: Analysis and simulations Non-Markovian diffusion equations and processes: Analysis and simulations](/preview/png/977895.png)
چکیده انگلیسی
In this paper we introduce and analyze a class of diffusion type equations related to certain non-Markovian stochastic processes. We start from the forward drift equation which is made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation can be interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the memory kernel K(t). We develop several applications and derive the exact solutions. We consider different stochastic models for the given equations providing path simulations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 21, 1 September 2008, Pages 5033-5064
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 21, 1 September 2008, Pages 5033-5064
نویسندگان
A. Mura, M.S. Taqqu, F. Mainardi,