Derivation of Fokker-Planck equations for stochastic systems under excitation of multiplicative non-Gaussian white noise

DOI10.1016/J.JMAA.2016.09.010MaRDI QIDQ321828zbMATH OpenOpenAlexFDO

Authors Xu Sun, Xiaofan Li, Yayun Zheng, Jinqiao Duan, Xiangjun Wang, Hua Liu

Publication date 14 October 2016

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.3936

zbMATH Keywords

Fokker-Planck equationsMarcus stochastic differential equationsnon-Gaussian white noiseprobability density function for solutionLévy processes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) White noise theory (60H40)

Abstract: Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and play an important role in quantifying propagation and evolution of uncertainty. Although Fokker-Planck equations can be written explicitly for nonlinear dynamical systems excited by Gaussian white noise, they are not available in general for nonlinear dynamical systems excited by multiplicative non-Gaussian white noise. Marcus stochastic differential equations are often appropriate models in engineering and physics for stochastic dynamical systems excited by non-Gaussian white noise. In this paper, we derive explicit forms of Fokker-Planck equations for one dimensional systems modeled by Marcus stochastic differential equations under multiplicative non-Gaussian white noise. As examples to illustrate the theoretical results, the derived formula is used to obtain Fokker-Plank equations for nonlinear dynamical systems under excitation of (i) $alpha$-stable white noise; (ii) combined Gaussian and Poisson white noise, respectively.

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Cited in

(14)

• Lyapunov exponents for Hamiltonian systems under small Lévy-type perturbations
• New results on stochastic systems excited by white noise powers
• Fractional Fokker-Planck equation for nonlinear stochastic differential equations driven by non-Gaussian Lévy stable noises
• A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems
• A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects
• Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise
• Probabilistic solutions of some multi-degree-of-freedom nonlinear stochastic dynamical systems excited by filtered Gaussian white noise
• Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes
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• A data-driven approach for discovering stochastic dynamical systems with non-Gaussian Lévy noise
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• Numerical methods for fractional Fokker-Planck equation with multiplicative Marcus Lévy noises
• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review

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