From the Ehrenfest model to time-fractional stochastic processes

The Ehrenfest model is considered as a good example of a Markov chain. I prove in this paper that the time-fractional diffusion process with drift towards the origin, is a natural generalization of the modified Ehrenfest model. The corresponding equation of evolution is a linear partial pseudo-differential equation with fractional derivatives in time, the orders lying between 0 and 1. I focus on finding a precise explicit analytical solution to this equation depending on the interval of the time. The stationary solution of this model is also analytically and numerically calculated. Then I prove that the difference between the discrete approximate solution at time t n , ∀ n ≥ 0 , and the stationary solution obeys a power law with exponent between 0 and 1. The reversibility property is discussed for the Ehrenfest model and its fractional version with a new observation.