We introduce a fractional Fokker-Planck equation describing the stochastic evolution of a particle under the combined influence of an external, nonlinear force and a thermal heat bath. For the force-free case, a subdiffusive behavior is recovered. The equation is shown to obey generalized Einstein relations, and its stationary solution is the Boltzmann distribution. The relaxation of single modes is shown to follow a Mittag-Leffler decay. We discuss the example of a particle in a harmonic potential.
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Metzler et al. (1999) studied this question.
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