D. Schertzer,M. Larchev\^eque, J. Duan, V.V. Yanovsky and S. Lovejoy
Fractional Fokker--Planck Equation for Nonlinear Stochastic 
Differential Equations Driven by Non-Gaussian Levy Stable Noises
(159K, PS file)

ABSTRACT.  The Fokker-Planck equation has been very useful for studying 
dynamic behavior of stochastic differential equations 
driven by Gaussian noises. In this paper, we derive a Fractional 
Fokker--Planck equation for the probability 
distribution of particles whose motion is governed by a {\em nonlinear} 
Langevin-type equation, 
which is driven by a non-Gaussian Levy-stable noise. 
We obtain in fact a more general result for 
Markovian processes generated by stochastic differential equations.