A dimension-reduced description of general Brownian motion by non-autonomous diffusion-like equations

Communicated by E.Ya. Khruslov


  • Holger Stephan Weierstrass Institute for Applied Analysis and Stochastics 39 Mohrenstrasse, 10117 Berlin, Germany

Ключові слова:


The Brownian motion of a classical particle can be described by a Fokker-Planck-like equation. Its solution is a probability density in phase space. By integrating this density w.r.t. the velocity, we get the spatial distribution or concentration. We reduce the 2n-dimensional problem to an n-dimensional diffusion-like equation in a rigorous way, i.e., without further assumptions in the case of general Brownian motion, when the particle is forced by linear friction and homogeneous random (non-Gaussian) noise. Using a representation with pseudodifferential operators, we derive a reduced diffusion-like equation, which turns out to be non-autonomous and can become elliptic for long times and hyperbolic for short times, although the original problem was time homogeneous. Moreover, we consider some examples: the classical Brownian motion (Gaussian noise), the Cauchy noise case (which leads to an autonomous diffusion-like equation), and the free particle case.




Як цитувати

Stephan, H. A Dimension-Reduced Description of General Brownian Motion by Non-Autonomous Diffusion-Like Equations: Communicated by E.Ya. Khruslov. J. Math. Phys. Anal. Geom. 2005, 12, 187-202.





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