A computational analysis for mean exit time under non-Gaussian Lévy noises
Publication:654657
DOI10.1016/j.amc.2011.06.068zbMath1252.65011MaRDI QIDQ654657
Huiqin Chen, Xiaofan Li, Cheng-Jian Zhang, Jin-qiao Duan
Publication date: 29 December 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.06.068
numerical examples; first exit time; stochastic dynamical systems; Lévy jump measure; non-Gaussian Lévy motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
37H10: Generation, random and stochastic difference and differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
37M05: Simulation of dynamical systems
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