Numerical methods for fractional Fokker–Planck equation with multiplicative Marcus Lévy noises

The Fokker–Planck equation (FPE) is an important deterministic tool for investigating stochastic dynamical systems. In this paper, we consider the space-time fractional FPE driven by multiplicative Marcus Lévy noises. Efficient numerical schemes are presented to solve the equations. Stability and convergence of the methods are also discussed. We give some numerical experiments to validate our schemes, and examine the effects of parameters on solutions. Additionally, we analyze the maximal likely trajectories and the critical time for the change of the most probability location.

• Publication year

  2024

• Venue

  Stochastics and Dynamics

• Publication date

  2024-02-01

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1142/s0219493724500035
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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