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

DOI10.1016/j.jmaa.2016.09.010zbMath1373.60116arXiv1409.3936OpenAlexW2963309338MaRDI QIDQ321828

Xu Sun, Hua Liu, Yayun Zheng, Xiaofan Li, Jin-qiao Duan, Xiang Jun Wang

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

Lévy processesFokker-Planck equationsMarcus stochastic differential equationsnon-Gaussian white noiseprobability density function for solution

Mathematics Subject Classification ID

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

Related Items (5)

A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects ⋮ Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review ⋮ Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises ⋮ Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise ⋮ A data-driven approach for discovering stochastic dynamical systems with non-Gaussian Lévy noise

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