scientific article; zbMATH DE number 1959553
The paper develops path integration methods as a numerical tool for the solution of stochastic differential equations. The methods were worked out and applied to calculating the probability density function of the state space vector of nonlinear oscillators driven by stationary Gaussian white noise. In the present paper, the stochastic differential equation with an \(\alpha\)-stable Lévy noise is studied. For a numerical solution of the equation, the authors use a discretization procedure similar to Euler-Maruyama approximation. To improve the accuracy, the Runge-Kutta-Maruyama approximation is suggested. Numerical results are compared with the results of extensive Monte Carlo simulation. It is shown that the number of grid points in the approximation can be kept practically constant for different values of \(\alpha\). This means that the computation time is largely independent of \(\alpha\). For the entire collection see [Zbl 0996.00047].
- scientific article; zbMATH DE number 1507392
- Statistics of nonlinear stochastic dynamical systems under Lévy noises by a convolution quadrature approach
- Path integral solutions of the governing equation of SDEs excited by Lévy white noise
- Itô calculus extended to systems driven by \(\alpha \)-stable Lévy white noises (a novel clip on the tails of Lévy motion)
- Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises
- Local averaged path integration method approach for nonlinear dynamic systems
- First-passage problem for stochastic differential equations with combined parametric Gaussian and Lévy white noises via path integral method
- Path integral solutions of the governing equation of SDEs excited by Lévy white noise
- Statistics of nonlinear stochastic dynamical systems under Lévy noises by a convolution quadrature approach
- scientific article; zbMATH DE number 1507392 (Why is no real title available?)
- The stochastic bifurcation of the vibro-impact system on the impact surface via a new path integration method
- Itô calculus extended to systems driven by \(\alpha \)-stable Lévy white noises (a novel clip on the tails of Lévy motion)
- Path integral approach via Laplace's method of integration for nonstationary response of nonlinear systems
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