Temporal Fokker-Planck Equations

Abstract: The temporal Fokker-Plank equation [{\it J. Stat. Phys.}, {\bf 3/4}, 527 (2003)] or propagation-dispersion equation was derived to describe diffusive processes with temporal dispersion rather than spatial dispersion as in classical diffusion. %\cite{boon-grosfils-lutsko}. We present two generalizations of the temporal Fokker-Plank equation for the first passage distribution function $f_j(r,t)$ of a particle moving on a substrate with time delays $\tau_j$. Both generalizations follow from the first visit master equation. In the first case, the time delays depend on the local concentration, that is the time delay probability $P_j$ is a functional of the particle distribution function and we show that when the functional dependence is of the power law type, $P_j \propto f_j^{\nu - 1}$, the generalized Fokker-Plank equation exhibits a structure similar to that of the nonlinear spatial diffusion equation where the roles of space and time are reversed. In the second case, we consider the situation where the time delays are distributed according to a power law, $P_j \propto \tau_j^{-1-\alpha}$ (with $0 < \alpha < 2$), in which case we obtain a fractional propagation-dispersion equation which is the temporal analog of the fractional spatial diffusion equation (with space and time interchanged).