Generalized Fokker-Planck equation for a class of stochastic dynamical systems driven by additive Gaussian and Poissonian fractional white noises of order α
Abstract:Abstract:In a first stage, the paper deals with the derivation and the solution of the equation of the probability density function of a stochastic system driven simultaneously by a fractional Gaussian white noise and a fractional Poissonian white noise both of the same order. The key is the Taylor's series of fractional orderwhere E α () denotes the Mittag-Leffler function, and D α x is the so-called modified RiemannLiouville fractional derivative which removes the effects of the non-zero initial value of the… Show more
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