Nonlinear Sciences – Chaotic Dynamics
Scientific paper
1999-11-30
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
Duan Jinqiao
Larchevêque M.
Lovejoy Shaun
Schertzer Daniel
Yanovsky Victor
No associations
LandOfFree
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.
Profile ID: LFWR-SCP-O-295187