Derivation of Fokker-Planck equations for stochastic systems under excitation of multiplicative non-Gaussian white noise

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:446

Article

Sun, Xu^1,2  Duan, Jinqiao²  Li, Xiaofan²  Liu, Hua¹  Wang, Xiangjun¹  Zheng, Yayun¹ 

[1] Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Hubei, Peoples R China

[2] IIT, Dept Appl Math, Chicago, IL 60616 USA

关键词: Fokker-Planck equations;    Non-Gaussian white noise;    Levy processes;    Marcus stochastic differential equations;    Probability density function for solution;   

DOI  :  10.1016/j.jmaa.2016.09.010

来源: Elsevier

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