99-453 D. Schertzer,M. Larchev\^eque, J. Duan, V.V. Yanovsky and S. Lovejoy

Fractional Fokker--Planck Equation for Nonlinear Stochastic Differential Equations Driven by Non-Gaussian Levy Stable Noises (159K, PS file) Nov 30, 99

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Abstract. 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 Fokker--Planck equation for the probability distribution of particles whose motion is governed by a {\em nonlinear} Langevin-type equation, which is driven by a non-Gaussian Levy-stable noise. We obtain in fact a more general result for Markovian processes generated by stochastic differential equations.

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