scholarly journals Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes

2009 ◽  
Vol 45 (3) ◽  
pp. 667-684 ◽  
Author(s):  
Patie Pierre
Keyword(s):  
Differential Equations ◽  
Lévy Processes ◽  
Infinite Divisibility ◽  
Levy Processes ◽  
Self Similar

On modelling physical systems with stochastic models: diffusion versus Lévy processes

2008 ◽  
Vol 366 (1875) ◽  
pp. 2455-2474 ◽  
Author(s):  
Cécile Penland ◽  
Brian D Ewald
Keyword(s):  
Differential Equations ◽  
Stochastic Models ◽  
Lévy Processes ◽  
Numerical Models ◽  
Gaussian White Noise ◽  
Levy Processes ◽  
Physical Systems ◽  
Random Forcing ◽  
Weather And Climate ◽  
Made In

Stochastic descriptions of multiscale interactions are more and more frequently found in numerical models of weather and climate. These descriptions are often made in terms of differential equations with random forcing components. In this article, we review the basic properties of stochastic differential equations driven by classical Gaussian white noise and compare with systems described by stable Lévy processes. We also discuss aspects of numerically generating these processes.

Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise

2016 ◽  
Vol 17 (05) ◽  
pp. 1750033 ◽  
Author(s):  
Xu Sun ◽  
Xiaofan Li ◽  
Yayun Zheng
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Probability Density ◽  
Lévy Processes ◽  
Planck Equation ◽  
Levy Processes ◽  
Stochastic Dynamical Systems ◽  
Non Gaussian ◽  
Fokker Planck Equations ◽  
Fokker Planck

Marcus stochastic differential equations (SDEs) often are appropriate models for stochastic dynamical systems driven by non-Gaussian Lévy processes and have wide applications in engineering and physical sciences. The probability density of the solution to an SDE offers complete statistical information on the underlying stochastic process. Explicit formula for the Fokker–Planck equation, the governing equation for the probability density, is well-known when the SDE is driven by a Brownian motion. In this paper, we address the open question of finding the Fokker–Planck equations for Marcus SDEs in arbitrary dimensions driven by non-Gaussian Lévy processes. The equations are given in a simple form that facilitates theoretical analysis and numerical computation. Several examples are presented to illustrate how the theoretical results can be applied to obtain Fokker–Planck equations for Marcus SDEs driven by Lévy processes.

scholarly journals TOPOLOGICAL EQUIVALENCE FOR DISCONTINUOUS RANDOM DYNAMICAL SYSTEMS AND APPLICATIONS

2013 ◽  
Vol 14 (01) ◽  
pp. 1350007 ◽  
Author(s):  
HUIJIE QIAO ◽  
JINQIAO DUAN
Keyword(s):  
Differential Equation ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Stochastic Differential Equations ◽  
Lévy Processes ◽  
Levy Processes ◽  
Topological Equivalence ◽  
Random Differential Equation ◽  
Jump Discontinuities ◽  
Non Gaussian

After defining non-Gaussian Lévy processes for two-sided time, stochastic differential equations with such Lévy processes are considered. Solution paths for these stochastic differential equations have countable jump discontinuities in time. Topological equivalence (or conjugacy) for such an Itô stochastic differential equation and its transformed random differential equation is established. Consequently, a stochastic Hartman–Grobman theorem is proved for the linearization of the Itô stochastic differential equation. Furthermore, for Marcus stochastic differential equations, this topological equivalence is used to prove the existence of global random attractors.

scholarly journals Apparent multifractality of self-similar Lévy processes

Nonlinearity ◽  
2017 ◽  
Vol 30 (7) ◽  
pp. 2592-2611
Author(s):  
Marco Zamparo
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Self Similar
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