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

Published 4 May 2014 in math-ph and math.MP | (1405.0653v2)

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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Authors (2)

  1. C. H. Eab 
  2. S. C. Lim 

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