A fractional diffusion equation for two-point probability distributions of a continuous-time random walk

A. Baule, R. Friedrich

Published 2008-08-08Version 1

Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a subdiffusive continuous time random walk, which can be considered as a generalization of the known single-time fractional diffusion equation to two-time probability distributions. The solution of this generalized diffusion equation is given as an integral transformation of the probability distribution of an ordinary diffusion process, where the integral kernel is generated by an inverse L\'evy stable process. Explicit expressions for the two time moments of a diffusion process are given, which could be readily compared with the ones determined from experiments.