Langevin equation with two fractional orders. (English) Zbl 1225.82049

Lim, S. C.; Li, Ming; Teo, L. P.

Phys. Lett., A 372, No. 42, 6309-6320 (2008).

Summary: A new type of fractional Langevin equation of two different orders is introduced. The solutions for this equation, known as the fractional Ornstein-Uhlenbeck processes, based on Weyl and Riemann-Liouville fractional derivatives are obtained. The basic properties of these processes are studied. An example of the spectral density of ocean wind speed which has similar spectral density as that of Weyl fractional Ornstein-Uhlenbeck process is given.

MSC:

82C31	Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
28A80	Fractals
26A33	Fractional derivatives and integrals
34K37	Functional-differential equations with fractional derivatives

Keywords:

fractional Langevin equation; Weyl and Riemann-Liouville fractional derivatives; short range dependence; fractal dimension

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