Fokker-Planck equations for Marcus stochastic differential equations driven by Levy processes
Year: 2016
Type: preprint
Abstract: Marcus stochastic differential equations (SDEs) often are appropriate models for stochastic dynamical systems driven by non-Gaussian Levy 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-Plank equations for Marcus SDEs in arbitrary dimensions driven by non-Gaussian Levy 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 Levy processes.
Source: arXiv (Cornell University)
Authors: Sun, Xu, Li, Xiaofan, Zheng, Yayun
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2407188464