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  Stochastic dynamics driven by combined Lévy–Gaussian noise: fractional Fokker–Planck–Kolmogorov equation and solution

Zan, W., Xu, Y., Kurths, J., Chechkin, A. V., Metzler, R. (2020): Stochastic dynamics driven by combined Lévy–Gaussian noise: fractional Fokker–Planck–Kolmogorov equation and solution. - Journal of Physics A: Mathematical and Theoretical, 53, 38, 385001.
https://doi.org/10.1088/1751-8121/aba654

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Zan, Wanrong1, Author
Xu, Yong1, Author
Kurths, Jürgen2, Author              
Chechkin, Aleksei V1, Author
Metzler, Ralf1, Author
Affiliations:
1External Organizations, ou_persistent22              
2Potsdam Institute for Climate Impact Research, ou_persistent13              

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 Abstract: Starting with a stochastic differential equation driven by combined Gaussian and Lévy noise terms we determine the associated fractional Fokker–Planck–Kolmogorov equation (FFPKE). For constant and power-law forms of an external potential we study the interplay of the two noise forms. Particular emphasis is paid on the discussion of sub- and superharmonic external potentials. We derive the probability density function solving the FFPKE and confirm the obtained shapes by numerical simulations. Particular emphasis is also paid to the stationary probability density function in the confining potentials and the question, to which extent the additional Gaussian noise effects changes on the probability density function compared to the pure Lévy noise case.

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 Dates: 2020-08-262020
 Publication Status: Finally published
 Pages: -
 Publishing info: -
 Table of Contents: -
 Rev. Type: Peer
 Identifiers: DOI: 10.1088/1751-8121/aba654
MDB-ID: No data to archive
PIKDOMAIN: RD4 - Complexity Science
Research topic keyword: Nonlinear Dynamics
Research topic keyword: Tipping Elements
Organisational keyword: RD4 - Complexity Science
Working Group: Network- and machine-learning-based prediction of extreme events
 Degree: -

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Title: Journal of Physics A: Mathematical and Theoretical
Source Genre: Journal, SCI, Scopus
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Pages: - Volume / Issue: 53 (38) Sequence Number: 385001 Start / End Page: - Identifier: Other: Institute of Physics Publishing (IOP)
Other: 1361-6447
Other: 1751-8121
ISSN: 0301-0015
ISSN: 0022-3689
ISSN: 0305-4470
ISSN: 1751-8113
CoNE: https://publications.pik-potsdam.de/cone/journals/resource/journal-physics-a-mathematical-theoretical
Publisher: IOP Publishing