A regularity result for the nonlocal Fokker-Planck equation with Ornstein-Uhlenbeck drift

arXiv1504.04631MaRDI QIDQ6260985FDOQ6260985

Authors: Xiaoxia Xie, Jinqiao Duan, Xiaofan Li, Guangying Lv 

Publication date: 17 April 2015

Abstract: Despite there are numerous theoretical studies of stochastic differential equations with a symmetric $alpha$-stable L'evy noise, very few regularity results exist in the case of $0<alphaleq1$. In this paper, we study the fractional Fokker-Planck equation with Ornstein-Uhlenbeck drift, and prove that there exists a unique solution, which is $C^{i}nfty$ in space for $t>0$ when $alphain(0,2]$.

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65)

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