Nonlinear SDEs driven by Lévy processes and related PDEs

In this paper we study general nonlinear stochastic differential equations, where the usual Brownian motion is replaced by a Lévy process. We also suppose that the coefficient multiplying the increments of this process is merely Lipschitz continuous and not necessarily linear in the time-marginals of the solution as is the case in the classical McKean-Vlasov model. We first study existence, uniqueness and particle approximations for these stochastic differential equations. When the driving process is a pure jump Lévy process with a smooth but unbounded Lévy measure, we develop a stochastic calculus of variations to prove that the time-marginals of the solutions are absolutely continuous with respect to the Lebesgue measure. In the case of a symmetric stable driving process, we deduce the existence of a function solution to a nonlinear integro-differential equation involving the fractional Laplacian

Some Applications of Fractional Equations

We present two observations related to theapplication of linear (LFE) and nonlinear fractional equations (NFE). First, we give the comparison and estimates of the role of the fractional derivative term to the normal diffusion term in a LFE. The transition of the solution from normal to anomalous transport is demonstrated and the dominant role of the power tails in the long time asymptotics is shown. Second, wave propagation or kinetics in a nonlinear media with fractal properties is considered. A corresponding fractional generalization of the Ginzburg-Landau and nonlinear Schrodinger equations is proposed.Comment: 11 page