Fractional Klein–Kramers dynamics for subdiffusion and Itô formula

Subdiffusion in the presence of an external force field has been recently described in phase space by the fractional Klein–Kramers equation. In this paper using a subordination method, we identify a two-dimensional stochastic process (position, velocity) whose probability density function is a solution of the fractional Klein–Kramers equation. The structure of this process agrees with the two-stage scenario underlying the anomalous diffusion mechanism, in which trapping events are superimposed on the Langevin dynamics. Applying an extension of the celebrated Itô formula for subdiffusion we found that the velocity process can be represented explicitly by a corresponding fractional Ornstein–Uhlenbeck process. A basic feature arising in the context of this stochastic representation is the random change of time of the system made by subordination. For the position and velocity processes we present a computer visualization of their sample paths and we derive an explicit expression for the two-point correlation function of the velocity process. The obtained stochastic representation is crucial in constructing an algorithm to simulate sample paths of the anomalous diffusion, which in turn allows us to detect and examine many relevant properties of the system under consideration