Issue
EPL
Volume 77, Number 1, January 2007
Article Number 10002
Number of page(s) 5
Section General
DOI http://dx.doi.org/10.1209/0295-5075/77/10002
Published online 03 January 2007
EPL, 77 (2007) 10002
DOI: 10.1209/0295-5075/77/10002

A fractional diffusion equation for two-point probability distributions of a continuous-time random walk

A. Baule1 and R. Friedrich2

1  School of Physics and Astronomy, University of Leeds - LS2 9JT Leeds, UK
2  Institute for Theoretical Physics, University of Münster - Wilhelm-Klemm Str. 9, 48149 Münster, Germany


received 14 August 2006; accepted in final form 7 November 2006; published January 2007
published online 3 January 2007

Abstract
Continuous-time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a subdiffusive continuous-time random walk, which can be considered as a generalization of the known single-time fractional diffusion equation to two-time probability distributions. The solution of this generalized diffusion equation is given as an integral transformation of the probability distribution of an ordinary diffusion process, where the integral kernel is generated by an inverse Lévy stable process. Explicit expressions for the two time moments of a diffusion process are given, which could be readily compared with the ones determined from experiments.

PACS
02.50.-r - Probability theory, stochastic processes, and statistics.
05.40.Fb - Random walks and Lévy flights.
05.10.Gg - Stochastic analysis methods.

© Europhysics Letters Association 2007