非高斯Levy过程驱动的非线性动力系统的Fokker-Planck方程
Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Levy processes
摘要：
Fokker-Planck方程描述了随机动力系统概率密度随时间的演化，因此被广泛用于量化随机现象，如不确定性传播。然而，对于由非高斯Lévy过程驱动的动力系统，由于伴随无穷小生成元的伴随算子通常没有精确的形式，很难得到Fokker-Planck方程的显式形式.本文用无穷级数的形式导出了具有非高斯Lévy过程的非线性随机微分方程的Fokker-Planck方程。给出了几个例子来说明该方法。
英文摘要：
The Fokker-Planck equations describe time evolution of probability densities of stochastic dynamical systems and are thus widely used to quantify random phenomena such as uncertainty propagation. For dynamical systems driven by non-Gaussian Lévy processes, however, it is difficult to obtain explicit forms of Fokker-Planck equations because the adjoint operators of the associated infinitesimal generators usually do not have exact formulation. In the present paper, Fokker- Planck equations are derived in terms of infinite series for nonlinear stochastic differential equations with non-Gaussian Lévy processes. A few examples are presented to illustrate the method.
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