A computational analysis for mean exit time under non-Gaussian Lévy noises

DOI10.1016/J.AMC.2011.06.068MaRDI QIDQ654657zbMATHOpenAlexFDO

Authors Huiqin Chen, Xiaofan Li, Jinqiao Duan, Cheng-Jian Zhang

Publication date 29 December 2011

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

Full work available at URL https://doi.org/10.1016/j.amc.2011.06.068

zbMATH Keywords

numerical examplesfirst exit timestochastic dynamical systemsLévy jump measurenon-Gaussian Lévy motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Simulation of dynamical systems (37M05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(13)

• Elementary bifurcations for a simple dynamical system under non-Gaussian Lévy noises
• scientific article; zbMATH DE number 1254172 (Why is no real title available?)
• Mean exit time and escape probability for dynamical systems driven by Lévy noises
• Nonlocal dynamics for non-Gaussian systems arising in biophysical modeling
• Most probable dynamics of stochastic dynamical systems with exponentially light jump fluctuations
• Lévy noise induced transition and enhanced stability in a gene regulatory network
• A computational analysis for first mean exit time of two-dimensional dynamical system under Lévy noise
• Metastable behaviour of small noise Lévy-Driven diffusions
• Quantifying model uncertainty in dynamical systems driven by non-Gaussian Lévy stable noise with observations on mean exit time or escape probability
• Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion
• Escape probability for stochastic dynamical systems with jumps
• Numerical methods for the mean exit time and escape probability of two-dimensional stochastic dynamical systems with non-Gaussian noises
• Asymmetric non-Gaussian effects in a tumor growth model with immunization

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