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Non-Markovian stochastic evolution equations

Author

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  • Costanza, G.

Abstract

Non-Markovian continuum stochastic and deterministic equations are derived from a set of discrete stochastic and deterministic evolution equations. Examples are given of discrete evolution equations whose updating rules depend on two or more previous time steps. Among them, the continuum stochastic evolution equation of the Newton second law, the stochastic evolution equation of a wave equation, the stochastic evolution equation for the scalar meson field, etc. are obtained as special cases. Extension to systems of evolution equations and other extensions are considered and examples are given. The concept of isomorphism and almost isomorphism are introduced in order to compare the coefficients of the continuum evolution equations of two different smoothing procedures that arise from two different approaches. Usually these discrepancies arising from two sources: On the one hand, the use of different representations of the generalized functions appearing in the models and, on the other hand, the different approaches used to describe the models. These new concept allows to overcome controversies that were appearing during decades in the literature.

Suggested Citation

  • Costanza, G., 2014. "Non-Markovian stochastic evolution equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 224-235.
    • Handle: RePEc:eee:phsmap:v:402:y:2014:i:c:p:224-235
    DOI: 10.1016/j.physa.2014.01.038
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