Levy Anomalous Diffusion and Fractional Fokker--Planck Equation

V. V. Yanovsky , A. V. Chechkin , D Schertzer (1) , A. V. Tour (2)

1 LMM - Laboratoire de modélisation en mécanique
2 UMS 831 - Services communs OMP

We demonstrate that the Fokker-Planck equation can be generalized into a \'Fractional Fokker-Planck\' equation, i.e. an equation which includes fractional space differentiations, in order to encompass the wide class of anomalous diffusions due to a Levy stable stochastic forcing. A precise determination of this equation is obtained by substituting a Levy stable source to the classical gaussian one in the Langevin equation. This yields not only the anomalous diffusion coefficient, but a non trivial fractional operator which corresponds to the possible asymmetry of the Levy stable source. Both of them cannot be obtained by scaling arguments. The (mono-) scaling behaviors of the Fractional Fokker-Planck equation and of its solutions are analysed and a generalization of the Einstein relation for the anomalous diffusion coefficient is obtained. This generalization yields a straightforward physical interpretation of the parameters of Levy stable distributions. Furthermore, with the help of important examples, we show the applicability of the Fractional Fokker-Planck equation in physics.

Domaines: Dynamique Chaotique [nlin.CD]

V. V. Yanovsky, A. V. Chechkin, D Schertzer, A. V. Tour. Levy Anomalous Diffusion and Fractional Fokker--Planck Equation. Physica A: Statistical Mechanics and its Applications, 2000, 282, pp.13-34. ⟨hal-00008415⟩