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 equation Lévy stable noise Markovian forcing non-Gaussian anomalous diffusion nonlinear 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)

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