Parameters of the fractional Fokker-Planck equation

S. I. Denisov, Peter Hänggi, Holger Kantz

Published 2008-11-07, updated 2009-03-09Version 2

We study the connection between the parameters of the fractional Fokker-Planck equation, which is associated with the overdamped Langevin equation driven by noise with heavy-tailed increments, and the transition probability density of the noise generating process. Explicit expressions for these parameters are derived both for finite and infinite variance of the rescaled transition probability density.