Fractional Fokker--Planck Equation for Nonlinear Stochastic Differential   Equations Driven by Non-Gaussian Levy Stable Noises
  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.} 
D. Schertzer, M. Larchev, J. Duan, V.V. Yanovsky, S. Lovejoy