Levy anomalous diffusion and fractional Fokker-Planck equation

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 sourer 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, (C) 2000 Published by Elsevier Science B.V. All rights reserved.