Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise

DOI10.1137/140990632zbMath1333.34099arXiv1410.1837MaRDI QIDQ3459652

Adam Hugh Monahan, William F. Thompson, Rachel Kuske

Publication date: 11 January 2016

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.1837

zbMATH Keywords

Lévy processes; stochastic differential equations; numerical simulation; multiple time scales; stochastic averaging; alpha-stable processes; heavy-tailed processes; Marcus calculus

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34C29: Averaging method for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

65C30: Numerical solutions to stochastic differential and integral equations

60G52: Stable stochastic processes

34E13: Multiple scale methods for ordinary differential equations

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Uses Software

• Matlab
• STABLE

Cites Work

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