2016
DOI: 10.1016/j.camwa.2015.09.030
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Generalized local and nonlocal master equations for some stochastic processes

Abstract: In this paper, we present a study on generalized local and nonlocal equations for some stochastic processes. By considering the net flux change in a region determined by the transition probability, we derive the master equation to describe the evolution of the probability density function. Some examples, such as classical Fokker-Planck equations, models for Lévy process, and stochastic coagulation equations, are provided as illustrations. A particular application is a consistent derivation of coupled dynamical… Show more

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Cited by 5 publications
(3 citation statements)
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“…Kinetic derivation method [91] would effectively work in such a situation. We then must use a conservative implicit scheme to handle the nonlocal terms efficiently.…”
Section: Discussionmentioning
confidence: 99%
“…Kinetic derivation method [91] would effectively work in such a situation. We then must use a conservative implicit scheme to handle the nonlocal terms efficiently.…”
Section: Discussionmentioning
confidence: 99%
“…where γ(x , x, t) denotes the transition rate from x to x at time t. Assume that the Markov process is time-homogeneous, namely γ(x , x, t) = γ(x , x). Then in the discrete time form [29], Eq. ( 20) is often reformulated as…”
Section: Markov Jump Processmentioning
confidence: 99%
“…Thus, it is of much interest to consider nonlocal model to understand and control complex processes. Under this circumstance, many researchers established the nonlocal model, such as non-Markovian jump processes, Levy flights [ 9 11 ], fractional differential operators [ 12 – 14 ] and so on.…”
Section: Introductionmentioning
confidence: 99%