Fractional Fokker--Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises
Analysis of PDEs
2009-11-10 v1 Mathematical Physics
math.MP
Abstract
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. In this paper, we derive a Fractional Fokker--Planck equation for the probability distribution of particles whose motion is governed by a {\em nonlinear} Langevin-type equation, which is driven by a non-Gaussian Levy-stable noise. We obtain in fact a more general result for Markovian processes generated by stochastic differential equations.}
Keywords
Cite
@article{arxiv.math/0409486,
title = {Fractional Fokker--Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises},
author = {D. Schertzer and M. Larchev and J. Duan and V. V. Yanovsky and S. Lovejoy},
journal= {arXiv preprint arXiv:math/0409486},
year = {2009}
}