Fractional kinetics in Kac-Zwanzig heat bath models

We study a variant of the Kac-Zwanzig model of a particle in a heat bath. The heat bath consists of n particles which interact with a distinguished particle via springs and have random initial data. As n-->infinity the trajectories of the distinguished particle weakly converge to the solution of a stochastic integro-differential equation-a generalized Langevin equation (GLE) with power-law memory kernel and driven by 1/f(alpha)-noise. The limiting process exhibits fractional sub-diffusive behaviour. We further consider the approximation of non-Markovian processes by higher-dimensional Markovian processes via the introduction of auxiliary variables and use this method to approximate the limiting GLE. In contrast, we show the inadequacy of a so-called fractional Fokker-Planck equation in the present context. All results are supported by direct numerical experiments.