Fractional Fokker–Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises

DOI10.1063/1.1318734zbMath1006.60052arXivmath/0409486OpenAlexW3104071484WikidataQ115334079 ScholiaQ115334079MaRDI QIDQ2774654

Michèle Larchevêque, S. Lovejoy, Daniel Schertzer, Vladimir Yanovsky, Jin-qiao Duan

Publication date: 26 February 2002

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0409486

zbMATH Keywords

fractional Fokker-Planck equationLévy stable noiseMarkovian forcingnon-Gaussian anomalous diffusionnonlinear Langevin-type equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (63)

Local Lipschitz continuity of the inverse of the fractional \(p\)-Laplacian, Hölder type continuity and continuous dependence of solutions to associated parabolic equations on bounded domains ⋮ First-passage problem for stochastic differential equations with combined parametric Gaussian and Lévy white noises via path integral method ⋮ Anomalous diffusion in nonhomogeneous media: power spectral density of signals generated by time-subordinated nonlinear Langevin equations ⋮ Asymptotic degeneracy and subdiffusivity ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ Derivation of Fokker-Planck equations for stochastic systems under excitation of multiplicative non-Gaussian white noise ⋮ SOLUTION OF LOCAL FRACTIONAL GENERALIZED FOKKER–PLANCK EQUATION USING LOCAL FRACTIONAL MOHAND ADOMIAN DECOMPOSITION METHOD ⋮ Estimation of the smallest eigenvalue in fractional escape problems: semi-analytics and fits ⋮ Linear response theory for nonlinear stochastic differential equations with \(\alpha\)-stable Lévy noises ⋮ Equivalent continuous and discrete realizations of Lévy flights: a model of one-dimensional motion of an inertial particle ⋮ On the limit of solutions for a reaction-diffusion equation containing fractional Laplacians ⋮ Langevin picture of subdiffusive particles under the joint influence of an expanding medium and an external constant force ⋮ Diffusion of active particles with stochastic torques modeled asα-stable noise ⋮ On the response of power law distributions to fluctuations ⋮ SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations ⋮ Lévy Langevin Monte Carlo ⋮ Quantifying model uncertainty in dynamical systems driven by non-Gaussian Lévy stable noise with observations on mean exit time or escape probability ⋮ Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions ⋮ Nonlinear friction in underdamped anharmonic stochastic oscillators ⋮ Relaxation to stationary states for anomalous diffusion ⋮ A computational analysis for mean exit time under non-Gaussian Lévy noises ⋮ Fractional Diffusion Limit for a Fractional Vlasov--Fokker--Planck Equation ⋮ Path integral solutions of the governing equation of SDEs excited by Lévy white noise ⋮ Tempered fractional Langevin–Brownian motion with inverse β-stable subordinator ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ Extracting non-Gaussian governing laws from data on mean exit time ⋮ AN INTERMEDIATE REGIME FOR EXIT PHENOMENA DRIVEN BY NON-GAUSSIAN LÉVY NOISES ⋮ Asymmetric Lévy flights in nonhomogeneous environments ⋮ Resonant activation in 2D and 3D systems driven by multi-variate Lévy noise ⋮ Escape from bounded domains driven by multivariateα-stable noises ⋮ Escape from a disk with partly absorbing boundaries driven by bi-variateα-stable noises ⋮ 1/fnoise from point process and time-subordinated Langevin equations ⋮ Non-Markovian Lévy dynamics and the effect of the underlying time correlation ⋮ Fokker-Planck equations for stochastic dynamical systems with symmetric Lévy motions ⋮ Power-law statistics from nonlinear stochastic differential equations driven by Lévy stable noise ⋮ Simulation of the continuous time random walk of the space-fractional diffusion equations ⋮ Fokker-Planck equation driven by asymmetric Lévy motion ⋮ The fractional relative capacity and the fractional Laplacian with Neumann and Robin boundary conditions on open sets ⋮ Synchronization of dissipative dynamical systems driven by non-Gaussian Lévy noises ⋮ Asymptotic behaviour for the fractional heat equation in the Euclidean space ⋮ Synchronization of systems of Marcus canonical equations driven by \(\alpha \)-stable noises ⋮ Lévy flights in inhomogeneous environments and \(1 / f\) noise ⋮ Anomalous diffusion limit of kinetic equations in spatially bounded domains ⋮ LÉVY FLIGHT SUPERDIFFUSION: AN INTRODUCTION ⋮ The stochastic stability of internal HIV models with Gaussian white noise and Gaussian colored noise ⋮ Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises ⋮ Lévy noise-driven escape from arctangent potential wells ⋮ Parameter estimation for the fractional Schrödinger equation using Bayesian method ⋮ Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise ⋮ Ergodicity and bifurcations for stochastic logistic equation with non-Gaussian Lévy noise ⋮ Dynamical behavior of a nonlocal Fokker–Planck equation for a stochastic system with tempered stable noise ⋮ Stationary states for underdamped anharmonic oscillators driven by Cauchy noise ⋮ Maximum principles for nonlocal parabolic Waldenfels operators ⋮ Well-posedness for the fractional Fokker-Planck equations ⋮ Chaos, fractional kinetics, and anomalous transport ⋮ Multimodal stationary states in symmetric single-well potentials driven by Cauchy noise ⋮ Target search of a protein on DNA in the presence of position-dependent bias ⋮ Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes ⋮ Coherent Structures in Nonlocal Dispersive Active-Dissipative Systems ⋮ Stochastic dynamics driven by combined Lévy–Gaussian noise: fractional Fokker–Planck–Kolmogorov equation and solution ⋮ The synchronization of coupled stochastic systems driven by symmetric α-stable process and Brownian motion ⋮ Reaction-diffusion equations with fractional diffusion on non-smooth domains with various boundary conditions ⋮ Nonparametric estimation of periodic signal disturbed by α-stable noises

Cites Work

• Unnamed Item
• Properties of operator stable distributions in infinite-dimensional Banach spaces
• Chaotic advection in a two-dimensional flow: Lévy flights and anomalous diffusion
• Fractional kinetic equation for Hamiltonian chaos
• Some remarks on multivariate stable distributions
• Regular variation and generalized domains of attraction in \(\mathbb{R}^ k\)
• A fractional diffusion equation to describe Lévy flights
• Multifractal Cascade Dynamics and Turbulent Intermittency
• Caractérisation de la dispersion avec un modèle fractionnaire
• Asymmetric transport and non-Gaussian statistics of passive scalars in vortices in shear

This page was built for publication: Fractional Fokker–Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises