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

DOI10.1016/J.AMC.2015.01.117zbMath1338.65015OpenAlexW1976133782MaRDI QIDQ300145

Yuanchao Luan, Xiao Wang, Xiaofan Li, Jin-qiao Duan

Publication date: 23 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.01.117

zbMATH Keywords

escape probabilityfirst exit timeLévy motionstochastic dynamical systemsdifferential-integral equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (14)

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