Path integral solutions of the governing equation of SDEs excited by Lévy white noise

DOI10.1016/J.JCP.2019.05.023MaRDI QIDQ2222274zbMATH OpenOpenAlexFDO

Authors Yong Xu, Wanrong Zan, Wantao Jia, J. Kurths

Publication date 26 January 2021

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2019.05.023

zbMATH Keywords

\(\alpha\)-stable Lévy white noisefinite difference methodMonte Carlo simulationpath integral methodspace fractional FPK equation

Mathematics Subject Classification ID

Fractional partial differential equations (35R11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• scientific article; zbMATH DE number 5190527 (Why is no real title available?)
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Cited in

(27)

• Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises
• Convergence of martingale solutions to the hybrid slow-fast system
• First-passage problem for stochastic differential equations with combined parametric Gaussian and Lévy white noises via path integral method
• A new approach for time-variant probability density function of the maximal value of stochastic dynamical systems
• A novel method based on augmented Markov vector process for the time-variant extreme value distribution of stochastic dynamical systems enforced by Poisson white noise
• Effects of Lévy noise on the Fitzhugh-Nagumo model: a perspective on the maximal likely trajectories
• Dynamic response and bifurcation for Rayleigh-Liénard oscillator under multiplicative colored noise
• A generalized method for the stationary probabilistic response of nonlinear dynamical system
• scientific article; zbMATH DE number 1959553 (Why is no real title available?)
• scientific article; zbMATH DE number 1507392 (Why is no real title available?)
• The influences of correlated spatially random perturbations on first passage time in a linear-cubic potential
• Dynamical behavior of a nonlocal Fokker-Planck equation for a stochastic system with tempered stable noise
• Generalized Cell Mapping Method with Deep Learning for Global Analysis and Response Prediction of Dynamical Systems
• Solving Fokker-Planck equation using deep learning
• Stochastic dynamics driven by combined Lévy–Gaussian noise: fractional Fokker–Planck–Kolmogorov equation and solution
• Characterising stochastic motion in heterogeneous media driven by coloured non-Gaussian noise
• Adaptive deep density approximation for fractional Fokker-Planck equations
• A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects
• Data driven adaptive Gaussian mixture model for solving Fokker-Planck equation
• Complex nonlinear dynamics and vibration suppression of conceptual airfoil models: a state-of-the-art overview
• A transfer learning method to solve Fokker-Planck equation based on the equivalent linearization
• Adaptive normalizing flows for solving Fokker-Planck equation
• A generalized transformed path integral approach for stochastic processes
• Physics-informed neural networks with hybrid sampling for stationary Fokker-Planck-Kolmogorov equation
• Extreme events suppression in a suspended aircraft seat system under extreme environment
• The Wiener path integral interpretation of the 3:1 combat rule
• Quantifying the parameter dependent basin of the unsafe regime of asymmetric Lévy-noise-induced critical transitions

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