Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises (Q300145): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises	scientific article

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scholarly article

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title

Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises (English)

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Applied Mathematics and Computation

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publication date

23 June 2016

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zbMATH Keywords

stochastic dynamical systems

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Lévy motion

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differential-integral equation

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first exit time

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escape probability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2015.01.117

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cites work

Q2738731

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An Introduction to Sparse Stochastic Processes

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Flights towards defection in economic transactions

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Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

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Handbook of stochastic methods for physics, chemistry and natural sciences.

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First exit times of SDEs driven by stable Lévy processes

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Escape Probability for Stochastic Dynamical Systems with Jumps

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Stochastic bifurcation for a tumor-immune system with symmetric Lévy noise

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The phase transition in a bistable Duffing system driven by Lévy noise

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Mean Exit Times and the Multilevel Monte Carlo Method

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Mean Exit Time and Escape Probability for Dynamical Systems Driven by Lévy Noises

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Lévy Processes and Stochastic Calculus

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A PDE approach to fractional diffusion in general domains: a priori error analysis

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Q4937701

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First Passage Times for Symmetric Stable Processes in Space

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Q4301585

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Estimates of Green function for relativistic \(\alpha\)-stable process

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On some relations between the harmonic measure and the Levy measure for a certain class of Markov processes

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The double-well potential in quantum mechanics: a simple, numerically exact formulation

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On the Distribution of First Hits for the Symmetric Stable Processes

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Identifiers

zbMATH Open document ID

1338.65015

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Mathematics Subject Classification ID

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10.1016/J.AMC.2015.01.117

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Sitelinks

Mathematics(1 entry)

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+An Introduction to Sparse Stochastic Processes
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+Flights towards defection in economic transactions
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+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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+Handbook of stochastic methods for physics, chemistry and natural sciences.
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@@ Property / cites work @@
+First exit times of SDEs driven by stable Lévy processes
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@@ Property / cites work @@
+Escape Probability for Stochastic Dynamical Systems with Jumps
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@@ Property / cites work @@
+Stochastic bifurcation for a tumor-immune system with symmetric Lévy noise
+Normal rank
@@ Property / cites work @@
+The phase transition in a bistable Duffing system driven by Lévy noise
+Normal rank
@@ Property / cites work @@
+Mean Exit Times and the Multilevel Monte Carlo Method
+Normal rank
@@ Property / cites work @@
+Mean Exit Time and Escape Probability for Dynamical Systems Driven by Lévy Noises
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
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@@ Property / cites work @@
+A PDE approach to fractional diffusion in general domains: a priori error analysis
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@@ Property / cites work @@
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@@ Property / cites work @@
+First Passage Times for Symmetric Stable Processes in Space
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimates of Green function for relativistic \(\alpha\)-stable process
+Normal rank
@@ Property / cites work @@
+On some relations between the harmonic measure and the Levy measure for a certain class of Markov processes
+Normal rank
@@ Property / cites work @@
+The double-well potential in quantum mechanics: a simple, numerically exact formulation
+Normal rank
@@ Property / cites work @@
+On the Distribution of First Hits for the Symmetric Stable Processes
+Normal rank
@@ Property / DOI @@
+.1016/J.AMC.2015.01.117
@@ Property / DOI: 10.1016/J.AMC.2015.01.117 / rank @@
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