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  Path probabilities of continuous time random walks

Eule, S., & Friedrich, R. (2014). Path probabilities of continuous time random walks. Journal of Statistical Mechanics: Theory and Experiment, 2014: P12005. doi:10.1088/1742-5468/2014/12/P12005.

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Item Permalink: http://hdl.handle.net/11858/00-001M-0000-0029-0EE3-D Version Permalink: http://hdl.handle.net/11858/00-001M-0000-0029-0EE4-B
Genre: Journal Article

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 Creators:
Eule, Stephan1, Author              
Friedrich, Rudolf, Author
Affiliations:
1Department of Nonlinear Dynamics, Max Planck Institute for Dynamics and Self-Organization, Max Planck Society, ou_2063286              

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 Abstract: Employing the path integral formulation of a broad class of anomalous diffusion processes, we derive the exact relations for the path probability densities of these processes. In particular, we obtain a closed analytical solution for the path probability distribution of a Continuous Time Random Walk (CTRW) process. This solution is given in terms of its waiting time distribution and short time propagator of the corresponding random walk as a solution of a Dyson equation. Applying our analytical solution we derive generalized Feynman–Kac formulae.

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Language(s): eng - English
 Dates: 2014-12-04
 Publication Status: Published in print
 Pages: -
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 Table of Contents: -
 Rev. Method: Peer
 Identifiers: eDoc: 697890
DOI: 10.1088/1742-5468/2014/12/P12005
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Title: Journal of Statistical Mechanics: Theory and Experiment
Source Genre: Journal
 Creator(s):
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Publ. Info: -
Pages: - Volume / Issue: 2014 Sequence Number: P12005 Start / End Page: - Identifier: -