Fokker-Planck equations for stochastic dynamical systems with symmetric Lévy motions

DOI10.1016/j.amc.2016.01.010zbMath1410.82017arXiv1310.7677OpenAlexW1594520385MaRDI QIDQ671079

Xiaofan Li, Ting Gao, Jin-qiao Duan

Publication date: 20 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.7677

zbMATH Keywords

maximum principleFokker-Planck equationToeplitz matrixnon-Gaussian noisefractional Laplacian operator\(\alpha\)-stable symmetric Lévy motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Numerical solutions to stochastic differential and integral equations (65C30) Stable stochastic processes (60G52)

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