Fokker-Planck equation driven by asymmetric Lévy motion

DOI10.1007/S10444-018-9642-4zbMATH Open1415.65201arXiv1803.00923OpenAlexW2964087870MaRDI QIDQ2000497FDOQ2000497

Jinqiao Duan, Xiao Wang, Xiaofan Li, Y. Huang, Wenpeng Shang

Publication date: 28 June 2019

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Abstract: Non-Gaussian L'evy noises are present in many models for understanding underlining principles of physics, finance, biology and more. In this work, we consider the Fokker-Planck equation(FPE) due to one-dimensional asymmetric L'evy motion, which is a nonlocal partial differential equation. We present an accurate numerical quadrature for the singular integrals in the nonlocal FPE and develop a fast summation method to reduce the order of the complexity from $O(J^2)$ to $O(JlogJ)$ in one time-step, where $J$ is the number of unknowns. We also provide conditions under which the numerical schemes satisfy maximum principle. Our numerical method is validated by comparing with exact solutions for special cases. We also discuss the properties of the probability density functions and the effects of various factors on the solutions, including the stability index, the skewness parameter, the drift term, the Gaussian and non-Gaussian noises and the domain size.

Full work available at URL: https://arxiv.org/abs/1803.00923

zbMATH Keywords

fast algorithmFokker-Planck equationsnon-Gaussian noisesnon-local partial differential equationasymmetric \(\alpha\)-stable Lévy motion

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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