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Chapter 1

Introduction
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Diffusion is a very common process in nature and it can be observed in

many different systems. In particular, anomalous diffusion processes have
been observed in most systems investigated such as bacterial cytoplasm mo-
tion [1], conformational fluctuations within a single protein molecule [2, 3],
fluorescence intermittency in single enzymes [4], the cell migration of two
migrating transformed renal epithelial MadinDarby canine kidney (MDCK-
F) cell strains [5], the internal protein dynamics for the backbone atoms of
hydrated elastin [6] and white and gray matters of a fixed rat brain [7].
Their properties have also been extensively investigated by various ap-
proaches in order to model different kinds of probability distributions such
as long-range spatial or temporal correlations [8–14]. For instance, we may
cite the Langevin equation [15–18], the Fokker-Planck equation [15–17],
the continuous-time random walk model (CTRW) [8, 19], the generalized
Langevin equation [20–22], the fractional Fokker-Planck equation [8] and
the nonlinear Fokker-Planck equation [23]. These approaches have also
been used to describe numerous systems in various contexts, such as eco-
nomics, physics, hydrology, chemistry and biology. The diffusion process is
classified according to the mean square displacement (MSD)

2 
x (t) ∼ tα . (1.1)

In the case of normal diffusion, the MSD grows linearly with time (α = 1).
For 0 < α < 1 the process is called subdiffusive, and for α > 1 the process
is called superdiffusive. For α = 2 it is referred to as ballistic motion. The
well-established property of the normal diffusion described by the Gaussian
distribution (the probability distribution is denoted by ρ(x, t), and ρ(x, t)dx
is the probability for finding a particle in a position between x and x + dx

1
February 7, 2018 17:30 ws-book9x6 Langevin and Fokker-Planck equations BookChaps1-7 page 2

2 Langevin and Fokker-Planck equations and their generalizations

at time t) can be obtained from the ordinary Langevin equation

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dξ √
= DL(t), (1.2)
dt
where ξ is a stochastic variable, D is the diffusion coefficient and L(t) is
the Langevin force which is assumed to be a Gaussian random variable, or
from the Fokker-Planck equation
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∂ρ(x, t) ∂ ∂2
=− [D1 (x, t)ρ(x, t)] + 2 [D2 (x, t)ρ(x, t)] (1.3)
∂t ∂x ∂x
with vanishing drift coefficient D1 (x, t) = 0 and constant diffusion coef-
ficient D2 (x, t) = D [15, 16]; it can also be obtained from an integro-
differential diffusion equation
Z t Z t
∂ρ(x, t) ∂ρ(x, t1 ) ∂ ∂ 2 ρ(x, t1 )
− dt1 g (t − t1 ) =C dt1 g (t − t1 )
∂t 0 ∂t1 ∂t 0 ∂x2
(1.4)
with the exponential function for the waiting time probability distribution,
g(t) = be−bt [24]. Anomalous diffusion regimes can also be obtained from
the ordinary Fokker-Planck equation, however, they arise from a variable
diffusion coefficient which may depend on time and/or space. Besides, in
the view of the Langevin approach it may be associated with a multiplica-
tive noise term. In the case of generalized Langevin equation [20, 21], it is
described by
Z t
dv
+ dt1 γ (t − t1 ) v (t1 ) = F (x) + Q(t) (1.5)
dt 0
with a unitary mass (where F (x) and Q(t) are deterministic and stochastic
forces, respectively).
In other approaches, such as the fractional Langevin equations and gen-
eralized Fokker-Planck equations (fractional and nonlinear) [23,25–28], they
can also describe anomalous diffusion processes.
This book provides a broad introduction to a rapidly growing area of
nonequilibrium statistical physics. The first part of the book complements
the classical book on the Langevin and Fokker-Planck equations [15]. Some
topics and methods of solutions are presented and discussed in details which
are not described in Ref. [15], such as the method of similarity solution, the
method of characteristics, transformations of diffusion processes into the
Wiener process for different orders of prescription in discretization rules for
the stochastic integrals, and harmonic noise.
Due to the growing interest in the research on the generalized Langevin
equations, several of them are presented. They are described with some
details.
February 7, 2018 17:30 ws-book9x6 Langevin and Fokker-Planck equations BookChaps1-7 page 3

Bibliography 3

The last part is devoted to the continuous time random walk model
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(CTRW). The CTRW model is based on the length of a given jump asso-
ciated with the waiting time elapsing between two successive jumps, and
these quantities are connected by a probability density function (PDF) of
jumps. Recent research on the integro-differential Fokker-Planck equation
derived from the continuous time random walk model is also presented and
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discussed in details. The equation is worked analytically for linear force

and generic waiting time PDF. Generalizations of the integro-differential
Fokker-Planck equation are also presented and discussed.

Bibliography

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4 Langevin and Fokker-Planck equations and their generalizations

[22] I. Snook, The Langevin and Generalised Langevin Approach to the Dynamics
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of Atomic, Polymeric and Colloidal Systems (Elsevier, Netherlands, 2007).

[23] T. D. Frank, Nonlinear FokkerPlanck Equations (Springer-Verlag, Berlin,
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