Name
Title | ||
|---|---|---|
Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises |
Abstract | ||
|---|---|---|
The mean exit time and escape probability are deterministic quantities that can quantify dynamical behaviors of stochastic differential equations with non-Gaussian α -stable type Lévy motions. Both deterministic quantities are characterized by differential-integral equations (i.e., differential equations with nonlocal terms) but with different exterior conditions. A convergent numerical scheme is developed and validated for computing the mean exit time and escape probability for two-dimensional stochastic systems with rotationally symmetric α -stable type Lévy motions. The effects of drift, Gaussian noises, intensity of jump measure and domain sizes on the mean exit time are discussed. The difference between the one-dimensional and two-dimensional cases is also presented. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.1016/j.amc.2015.01.117 | Applied Mathematics and Computation |
Keywords | Field | DocType |
lévy motion,stochastic dynamical systems,escape probability,differential-integral equation,first exit time | Differential equation,Mathematical optimization,Mathematical analysis,Stochastic differential equation,Gaussian,Dynamical systems theory,Jump,Numerical analysis,Mathematics | Journal |
Volume | Issue | ISSN |
258 | C | 0096-3003 |
Citations | PageRank | References |
4 | 0.58 | 3 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Xiao Wang | 1 | 5 | 1.62 |
| Jinqiao Duan | 2 | 23 | 15.58 |
| Xiaofan Li | 3 | 7 | 2.13 |
| Yuanchao Luan | 4 | 4 | 0.58 |