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Kantorovich-Rubinstein distance and approximation for non-local Fokker-Planck equations
1School of Mathematics and Statistics and Center for Mathematical Sciences, Huazhong University of Sciences and Technology, Wuhan 430074, China.
Abstract:
This work is devoted to studying complex dynamical systems under non-Gaussian fluctuations. We first estimate the Kantorovich-Rubinstein distance for solutions of non-local Fokker-Planck equations associated with stochastic differential equations with non-Gaussian Lévy noise. This is then applied to establish weak convergence of the corresponding probability distributions. Furthermore, this leads to smooth approximation for non-local Fokker-Planck equations, as illustrated in an example.
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