Numerical methods for fractional Fokker–Planck equation with multiplicative Marcus Lévy noises (in EN)
Journal Article
·
· Stochastics and Dynamics
The Fokker–Planck equation (FPE) is an important deterministic tool for investigating stochastic dynamical systems. In this paper, we consider the space-time fractional FPE driven by multiplicative Marcus Lévy noises. Efficient numerical schemes are presented to solve the equations. Stability and convergence of the methods are also discussed. We give some numerical experiments to validate our schemes, and examine the effects of parameters on solutions. Additionally, we analyze the maximal likely trajectories and the critical time for the change of the most probability location.
- Research Organization:
- Illinois Institute of Technology, Chicago, IL (United States)
- Sponsoring Organization:
- USDOE Office of Science (SC)
- DOE Contract Number:
- SC0022276
- OSTI ID:
- 2580079
- Journal Information:
- Stochastics and Dynamics, Journal Name: Stochastics and Dynamics Journal Issue: 01 Vol. 24; ISSN 0219-4937
- Publisher:
- World Scientific
- Country of Publication:
- United States
- Language:
- EN
Similar Records
Non-Linear Langevin and Fractional Fokker–Planck Equations for Anomalous Diffusion by Lévy Stable Processes
Numerical evaluation of path-integral solutions to Fokker-Planck equations
Numerical analysis of the Boltzmann equation including Fokker-Planck terms
Journal Article
·
Tue Oct 02 20:00:00 EDT 2018
· Entropy
·
OSTI ID:1610207
Numerical evaluation of path-integral solutions to Fokker-Planck equations
Journal Article
·
Sun May 01 00:00:00 EDT 1983
· Physical Review (Section) A: General Physics; (USA)
·
OSTI ID:5144527
Numerical analysis of the Boltzmann equation including Fokker-Planck terms
Journal Article
·
Sat May 01 00:00:00 EDT 1982
· Nucl. Sci. Eng.; (United States)
·
OSTI ID:6810081