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

D. Schertzer·M. Larchev·J. Duan·V. V. Yanovsky·S. Lovejoy
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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.}

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D. Schertzer, M. Larchev, J. Duan, V. V. Yanovsky, S. Lovejoy. 2004-09-24. Fractional Fokker--Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises. https://doi.org/10.1063/1.1318734

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