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…