Karl Patrick S. Casas, Christopher C. Bernido
The link between Markovian and non-Markovian stochastic processes is examined by looking at the drift and diffusion coefficients. Starting with the Langevin equation, a solution for the Fokker-Planck equation is obtained using white noise analysis. An evaluation of the mean square displacement explicitly shows that the drift coefficient may not play a crucial role in transitions from Markovian to non-Markovian processes. A special case of the solution obtained for the Fokker-Planck equation is fractional Brownian motion which we use to consider absorbing boundaries. © 2020 Author(s).
Department of Physics, University of San Carlos, Talamban, Cebu City, 6000, Philippines; Research Institute for Computational Mathematics and Physics, Cebu Normal University, Osmeña Boulevard, Cebu City, 6000, Philippines; Research Center for Theoretical Physics, Central Visayan Institute Foundation, Jagna, Bohol, 6308, Philippines
