Parameters of the fractional Fokker-Planck equation
Statistical Mechanics
2009-03-09 v2
Abstract
We study the connection between the parameters of the fractional Fokker-Planck equation, which is associated with the overdamped Langevin equation driven by noise with heavy-tailed increments, and the transition probability density of the noise generating process. Explicit expressions for these parameters are derived both for finite and infinite variance of the rescaled transition probability density.
Keywords
Cite
@article{arxiv.0811.1162,
title = {Parameters of the fractional Fokker-Planck equation},
author = {S. I. Denisov and Peter Hänggi and Holger Kantz},
journal= {arXiv preprint arXiv:0811.1162},
year = {2009}
}
Comments
5 pages