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Nonlinear stochastic equations with multiplicative Lévy noise
1Institute of Nuclear Physics, Polish Academy of Sciences, PL-31-342 Kraków, Poland.
Abstract:
The Langevin equation with a multiplicative Lévy white noise is solved. The noise amplitude and the drift coefficient have a power-law form. A validity of ordinary rules of the calculus for the Stratonovich interpretation is discussed. The solution has the algebraic asymptotic form and the variance may assume a finite value for the case of the Stratonovich interpretation. The problem of escaping from a potential well is analyzed numerically; predictions of different interpretations of the stochastic integral are compared.
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