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

DOI10.1016/j.amc.2011.06.068zbMath1252.65011MaRDI QIDQ654657

Xiaofan Li, Huiqin Chen, Jin-qiao 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 examples; first exit time; stochastic dynamical systems; Lévy jump measure; non-Gaussian Lévy motion

Mathematics Subject Classification ID

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

34F05: Ordinary differential equations and systems with randomness

37H10: Generation, random and stochastic difference and differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

37M05: Simulation of dynamical systems

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