Fokker-Planck Equation and Path Integral Representation of Fractional Ornstein-Uhlenbeck Process with Two Indices

2014/05/04 by Eab, C. H., Lim, S. C.
#FOS: Physical sciences #Mathematical Physics (math-ph)

paper · doi:10.48550/arxiv.1405.0653

Abstract

This paper considers the Fokker-Planck equation and path integral formulation of the fractional Ornstein-Uhlenbeck process parametrized by two indices. The effective Fokker-Planck equation of this process is derived from the associated fractional Langevin equation. Path integral representation of the process is constructed and the basic quantities are evaluated.

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