Fractional Fokker-Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises

Details Fractional Fokker-Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises Fractional Fokker-Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises

1999-11-30

arxiv.org/abs/chao-dyn/9912004v2

Nonlinear Sciences

Chaotic Dynamics

submitted to J. Math. Phys., October 28 1999, revised version June 29 2000

Scientific paper

The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. However, there are both theoretical and empirical reasons to consider similar equations driven by strongly non-Gaussian noises. In particular, they yield strongly non-Gaussian anomalous diffusion which seems to be relevant in different domains of Physics. We therefore derive in this paper a Fractional Fokker-Planck equation for the probability distribution of particles whose motion is governed by a nonlinear Langevin-type equation, which is driven by a Levy-stable noise rather than a Gaussian. We obtain in fact a general result for a Markovian forcing. We also discuss the existence and uniqueness of the solution of the Fractional Fokker-Planck equation

Affiliated with

Also associated with

No associations

Rating

Fractional Fokker-Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Fractional Fokker-Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Fractional Fokker-Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-295187