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arXiv · 1002.3483

Nonlinear stochastic equations with multiplicative L\'evy noise

Tomasz Srokowski
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Abstract

The Langevin equation with a multiplicative L\'evy white noise is solved. The noise amplitude and the drift coefficient have a power-law form. A validity of ordinary rules of the calculus for the Stratonovich interpretation is discussed. The solution has the algebraic asymptotic form and the variance may assume a finite value for the case of the Stratonovich interpretation. The problem of escaping from a potential well is analysed numerically; predictions of different interpretations of the stochastic integral are compared.

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Tomasz Srokowski. 2010-02-18. Nonlinear stochastic equations with multiplicative L\'evy noise. https://doi.org/10.1103/physreve.81.051110

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