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most citedFractional Fokker--Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises

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math.AP2004★ 182 cited

Fractional Fokker--Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises

D. Schertzer, M. Larchev, J. Duan +2

The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. In this paper, we derive a Fractional…