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.

• Received 9 July 1998

DOI:https://doi.org/10.1103/PhysRevLett.82.3563