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

Probabilistic Engineering Mechanics

Volumn 19, Issue 4, 2004, Pages 385-392

  Ditlevsen, Ove ^a  

^a TECHNICAL UNIVERSITY OF DENMARK   (Denmark)

Author keywords

Cauchy noise; Langevin equation driven by L vy noise; Spectral Fokker Planck equation; Stochastic differential equations

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; COMPUTER SIMULATION; MONTE CARLO METHODS; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES;

CAUCHY NOISE; LANGEVIN EQUATION DRIVEN BY LÉVY NOISE; SPECTRAL FOKKER-PLANCK EQUATION; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

EID: 4644312119     PISSN: 02668920     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.probengmech.2004.04.002     Document Type: Article

References (3)

1. Grigoriu M. Stochastic calculus. 2002;Birkhäuser, Basel.
2. Ditlevsen P.D. Anomalous jumping in a double-well potential. Phys Rev. E60:1999;172-179.
3. Grigoriu M. Applied non-Gaussian processes. 1995;Prentice Hall, Englewood Cliffs, NJ.