Invalidity of the spectral Fokker–Planck equation for Cauchy noise driven Langevin equation

The standard Langevin equation is a first order stochastic differential equation where the driving noise term is a Brownian motion. The marginal probability density is a solution to a linear partial differential equation called the Fokker–Planck equation. If the Brownian motion is replaced by so-cal...

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Veröffentlicht in:	Probabilistic engineering mechanics 2004-10, Vol.19 (4), p.385-392
1. Verfasser:	Ditlevsen, Ove
Format:	Artikel
Sprache:	eng
Schlagworte:	Cauchy noise Langevin equation driven by Lévy noise Spectral Fokker–Planck equation Stochastic differential equations
Online-Zugang:	Volltext
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