scholarly journals Lévy flights and Lévy-Schrödinger semigroups

Open Physics ◽  
2010 ◽  
Vol 8 (5) ◽  
Author(s):  
Piotr Garbaczewski

AbstractWe analyze two different confining mechanisms for Lévy flights in the presence of external potentials. One of them is due to a conservative force in the corresponding Langevin equation. Another is implemented by Lévy-Schrödinger semigroups which induce so-called topological Lévy processes (Lévy flights with locally modified jump rates in the master equation). Given a stationary probability function (pdf) associated with the Langevin-based fractional Fokker-Planck equation, we demonstrate that generically there exists a topological Lévy process with the same invariant pdf and in reverse.

2017 ◽  
Vol 23 (3) ◽  
Author(s):  
Alexander Egorov ◽  
Victor Malyutin

AbstractIn this work, a new numerical method to calculate the characteristics of the solution to stochastic differential equations is presented. This method is based on the Fokker–Planck equation for the transition probability function and the representation of the transition probability function by means of eigenfunctions of the Fokker–Planck operator. The results of the numerical experiments are presented.


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