Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises

DOI10.1016/j.apm.2020.06.031zbMath1481.65027arXiv1811.05610OpenAlexW3035881901MaRDI QIDQ2049852

Yanjie Zhang, Qiao Huang, Xiao Wang, Jin-qiao Duan, Ting-Ting Li

Publication date: 27 August 2021

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.05610

zbMATH Keywords

finite difference scheme\(\alpha\)-stable processZakai equationnonlocal Fokker-Planck equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stable stochastic processes (60G52)

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