Fokker-Planck equation driven by asymmetric L\'evy motion

TL;DR

This paper develops an efficient numerical method for solving the Fokker-Planck equation driven by asymmetric Le9vy motion, enabling better analysis of non-Gaussian stochastic processes in various scientific fields.

Contribution

It introduces a fast quadrature and summation technique for the nonlocal FPE with asymmetric Le9vy noise, improving computational efficiency and accuracy.

Findings

Validated numerical scheme against exact solutions.

Analyzed effects of stability index and skewness on solutions.

Discussed conditions for maximum principle satisfaction.

Abstract

Non-Gaussian L\'evy noises are present in many models for understanding underlining principles of physics, finance, biology and more. In this work, we consider the Fokker-Planck equation(FPE) due to one-dimensional asymmetric L\'evy motion, which is a nonlocal partial differential equation. We present an accurate numerical quadrature for the singular integrals in the nonlocal FPE and develop a fast summation method to reduce the order of the complexity from $O(J^2)$ to $O(J\log J)$ in one time-step, where $J$ is the number of unknowns. We also provide conditions under which the numerical schemes satisfy maximum principle. Our numerical method is validated by comparing with exact solutions for special cases. We also discuss the properties of the probability density functions and the effects of various factors on the solutions, including the stability index, the skewness parameter, the drift term, the Gaussian and non-Gaussian noises and the domain size.