Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion

DOI10.1016/J.AMC.2018.05.038zbMATH Open1427.60085arXiv1702.00600OpenAlexW2587572234MaRDI QIDQ2335686FDOQ2335686

Authors: Xiao Wang, Xiaofan Li, Renming Song, Jinqiao Duan 

Publication date: 15 November 2019

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

Abstract: For non-Gaussian stochastic dynamical systems, mean exit time and escape probability are important deterministic quantities, which can be obtained from integro-differential (nonlocal) equations. We develop an efficient and convergent numerical method for the mean first exit time and escape probability for stochastic systems with an asymmetric L'evy motion, and analyze the properties of the solutions of the nonlocal equations. We also investigate the effects of different system factors on the mean exit time and escape probability, including the skewness parameter, the size of the domain, the drift term and the intensity of Gaussian and non-Gaussian noises. We find that the behavior of the mean exit time and the escape probability has dramatic difference at the boundary of the domain when the index of stability crosses the critical value of one.

Full work available at URL: https://arxiv.org/abs/1702.00600

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zbMATH Keywords

first exit timeintegro-differential equationstochastic dynamical systemsescape probabilityasymmetric Lévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited In (8)

• Quantifying the parameter dependent basin of the unsafe regime of asymmetric Lévy-noise-induced critical transitions
• Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises
• Dynamical transition of phenotypic states in breast cancer system with Lévy noise
• Mean exit time and escape probability for dynamical systems driven by Lévy noises
• Escape probability for stochastic dynamical systems with jumps
• First passage time moments of asymmetric Lévy flights
• A computational analysis for mean exit time under non-Gaussian Lévy noises
• First-passage properties of asymmetric Lévy flights

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