Mean Exit Time and Escape Probability for Dynamical Systems Driven by Lévy Noises
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Publication:2878935
DOI10.1137/120897262zbMath1318.60065arXiv1201.6015OpenAlexW2053960906MaRDI QIDQ2878935
Xiaofan Li, Ting Gao, Renming Song, Jin-qiao Duan
Publication date: 5 September 2014
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.6015
numerical methodsstochastic differential equationsintegro-differential equationescape probabilitymean exit time\(\alpha\)-stable type Lévy motions
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-ordinary differential equations (45J05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stable stochastic processes (60G52)
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