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

DOI10.1016/J.JMAA.2016.09.010zbMATH Open1373.60116arXiv1409.3936OpenAlexW2963309338MaRDI QIDQ321828FDOQ321828

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)

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.

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

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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)

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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
• Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises
• A data-driven approach for discovering stochastic dynamical systems with non-Gaussian Lévy noise
• Methodological approaches for the Fokker-Planck equation associated to nonlinear stochastic differential systems with uncertain parameters
• Analysis of moment stability and sensitivity of non-linear stochastic distributed systems: a practical approach via a distributed Fokker-Planck equation
• 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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