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Non-homogeneous random walks, generalised master equations, fractional Fokker-Planck equations, and the generalised Kramers-Moyal expansion

  • R. Metzler
Article

Abstract:

A generalised random walk scheme for random walks in an arbitrary external potential field is investigated. From this concept which accounts for the symmetry breaking of homogeneity through the external field, a generalised master equation is constructed. For long-tailed transfer distance or waiting time distributions we show that this generalised master equation is the genesis of apparently different fractional Fokker-Planck equations discussed in literature. On this basis, we introduce a generalisation of the Kramers-Moyal expansion for broad jump length distributions that combines multiples of both ordinary and fractional spatial derivatives. However, it is shown that the nature of the drift term is not changed through the existence of anomalous transport statistics, and thus to first order, an external potential Φ(x) feeds back on the probability density function W through the classical term ∝∞ ∂/∂ xФ´(x)W(x, t), i.e., even for Lévy flights, there exists a linear infinitesimal generator that accounts for the response to an external field.

PACS. 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.) – 05.40.Fb Random walks and Lévy flights – 05.60.-k Transport processes – 02.50.Ey Stochastic processes 

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Copyright information

© EDP Sciences, Springer-Verlag 2001

Authors and Affiliations

  • R. Metzler
    • 1
  1. 1.Department of Physics and School of Chemical SciencesUniversity of Illinois at Urbana-ChampaignUrbanaUSA

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