Invalidity of the spectral Fokker-Planck equation forCauchy noise driven Langevin equation

Ove Dalager Ditlevsen

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Abstract

The standard Langevin equation is a first order stochastic differential equation where the driving noise term is a Brownian motion. The marginal probability density is a solution to a linear partial differential equation called the Fokker-Planck equation. If the Brownian motion is replaced by so-called alpha-stable noise (or Levy noise) the Fokker-Planck equation no longer exists as a partial differential equation for the probability density because the property of finite variance is lost. In stead it has been attempted to formulate an equation for the characteristic function (the Fourier transform) corresponding to the density function. This equation is frequently called the spectral Fokker-Planck equation. This paper raises doubt about the validity of the spectral Fokker/Planck equation in its standard formulation. The equation can be solved with respect to stationary solutions in the particular case where the noise is Cauchy noise and the drift function is a polynomial that allows the existence of a stationary probability density solution. The solution shows paradoxic properties by not being unique and only in particular cases having one of its solutions closely approximating the solutions to a corresponding Langevin difference equation. Similar doubt can be traced in Grigoriu's work [Stochastic Calculus(2002)].
Original languageEnglish
JournalProbabilistic Engineering Mechanics
Volume19
Pages (from-to)385-392
ISSN0266-8920
Publication statusPublished - 2004

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