simulation and chaotic behavior of α-stable stochastic process (Marcel Dekker)
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simulation and chaotic behavior of α-stable stochastic process
Simulation And Chaotic Behavior Of α Stable Stochastic Process, supplied by Marcel Dekker, used in various techniques. Bioz Stars score: 90/100, based on 1 PubMed citations. ZERO BIAS - scores, article reviews, protocol conditions and more
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Simulation And Chaotic Behavior Of α Stable Stochastic Process, supplied by Marcel Dekker, used in various techniques. Bioz Stars score: 90/100, based on 1 PubMed citations. ZERO BIAS - scores, article reviews, protocol conditions and more
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other:Article Title: Fokker–Planck equation and Feynman–Kac formula for multidimensional stochastic dynamical systems with Lévy noises and time-dependent coefficients Article Snippet: Mathematics and Computers in Simulation 229 (2025) 574–593 A 0 r Contents lists available at ScienceDirect Mathematics and Computers in Simulation journal homepage: www.elsevier.com/locate/matcom Original Articles Fokker–Planck equation and Feynman–Kac formula for multidimensional stochastic dynamical systems with Lévy noises and time-dependent coefficients Qingyan Meng a, Yejuan Wang a,∗, Peter E. Kloeden b, Xiaoying Han c a School of Mathematics and Statistics, Gansu Key Laboratory of Applied Mathematics and Complex Systems, Lanzhou University, Lanzhou, 730000, PR China b Mathematisches Institut, Universität Täbingen, Tübingen, 72076, Germany c Department of Mathematics and Statistics, Auburn University, Auburn, AL 36849, USA A R T I C L E I N F O MSC: 35Q84 60G52 60H30 65C05 65M75 Keywords: Probability density function Nonlocal Fokker–Planck equations Feynman–Kac formula Stochastic representation A B S T R A C T The aim of this paper is to establish a version of the Feynman–Kac formula for the timedependent multidimensional nonlocal Fokker–Planck equation corresponding to a class of time-dependent stochastic differential equations driven by multiplicative symmetric (or asymmetric) α-stable Lévy noise.. First the forward nonlocal Fokker–Planck equation is derived by the adjoint operator method, overcoming the challenges posed by time-dependent multidimensional nonlinear symmetric α-stable Lévy noise.. Subsequently, the Feynman–Kac formula for the forward multidimensional time-dependent nonlocal Fokker–Planck equation is established by applying techniques for the backward nonlocal Fokker–Planck equations, which is associated with the backward stochastic differential equation driven by the multiplicative symmetric α- stable Lévy noise. |