Phys. Rev. E 71, 026101 (2005) [9 pages]Joint probability distributions for a class of non-Markovian processesReceived 4 August 2004; published 1 February 2005 We consider joint probability distributions for the class of coupled Langevin equations introduced by Fogedby [ H. C. Fogedby Phys. Rev. E 50 1657 (1994)]. We generalize well-known results for the single-time probability distributions to the case of N-time joint probability distributions. It is shown that these probability distribution functions can be obtained by an integral transform from distributions of a Markovian process. The integral kernel obeys a partial differential equation with fractional time derivatives reflecting the non-Markovian character of the process. © 2005 The American Physical Society URL:
http://link.aps.org/doi/10.1103/PhysRevE.71.026101
DOI:
10.1103/PhysRevE.71.026101
PACS:
02.50.−r, 05.40.−a, 47.27.−i, 05.30.Pr
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