Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative $\alpha$-stable noises

Abstract

The Fokker-Planck equations (FPEs) for stochastic systems driven by additive symmetric $\alpha$-stable noises may not adequately describe the time evolution for the probability densities of solution paths in some practical applications, such as hydrodynamical systems, porous media, and composite materials. As a continuation of previous works on additive case, the FPEs for stochastic dynamical systems with multiplicative symmetric $\alpha$-stable noises are derived by the adjoint operator method, which satisfy the nonlocal partial differential equations. A finite difference method for solving the nonlocal Fokker-Planck equation (FPE) is constructed, which is shown to satisfy the discrete maximum principle and to be convergent. Moreover, an example is given to illustrate this method. For asymmetric case, general finite difference schemes are proposed, and some analyses of the corresponding numerical schemes are given. Furthermore, the corresponding result is successfully applied to the nonlinear filtering problem.